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Small Sample Properties of the Wilcoxon Signed Rank Test with Discontinuous and Dependent Observations

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Author Info
Nadine Chlass () (Max Planck Institute of Economics, Strategic Interaction Group)
Jens J. Krueger () (Friedrich-Schiller-University Jena, Department of Economics)

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Abstract

This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certain assumption violations in small samples. Emphasis is put on within-sample-dependence, between-sample dependence, and the presence of ties. Our results show that both assumption violations induce severe size distortions and entail power losses. Surprisingly, these consequences do vary substantially with other properties the data may display. Results provided are particularly relevant for experimental settings where ties and within-sample dependence are frequently observed.

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Publisher Info
Paper provided by Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics, Thueringer Universitaets- und Landesbibliothek in its series Jena Economic Research Papers in Economics with number 2007-032.

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Date of creation: 05 Jul 2007
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Handle: RePEc:jrp:jrpwrp:2007-032

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Related research
Keywords: Wilcoxon signed rank test; ties; dependent observations; size and power;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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  1. Dennis A. V. Dittrich & Werner Güth & Martin Kocher & Paul Pezanis-Christou, . "Loss aversion and learning to bid," Papers on Strategic Interaction 2005-03, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  2. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 167-76, April.
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  3. Hisashi Tanizaki, 1997. "Power comparison of non-parametric tests: Small-sample properties from Monte Carlo experiments," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(5), pages 603-632, October. [Downloadable!] (restricted)
  4. Nick Feltovich, 2003. "Nonparametric Tests of Differences in Medians: Comparison of the Wilcoxon–Mann–Whitney and Robust Rank-Order Tests," Experimental Economics, Springer, vol. 6(3), pages 273-297, November. [Downloadable!] (restricted)
  5. Cragg, John G, 1983. "More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form," Econometrica, Econometric Society, vol. 51(3), pages 751-63, May. [Downloadable!] (restricted)
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