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Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions

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  • Dufour, J.M.
  • Farhat, A.

Abstract

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments.

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Bibliographic Info

Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-23.

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Length: 32 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-23

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Keywords: ECONOMETRICS ; ECONOMIC MODELS ; TESTS ; ESTIMATION;

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References

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  1. DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
  2. Dufour, Jean-Marie, 1990. "Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors," Econometrica, Econometric Society, vol. 58(2), pages 475-94, March.
  3. Dufour, J.M. & Kiviet, J.F., 1995. "Exact Tests in Single Equation Autoregressive Distributed Lag Models," Cahiers de recherche 9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. DUFOUR, Jean-Marie & TORRÈS, Olivier, 2000. "Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Universite de Montreal, Departement de sciences economiques.
  5. G. Noether, 1963. "Note on the kolmogorov statistic in the discrete case," Metrika, Springer, vol. 7(1), pages 115-116, December.
  6. Jean-Marie Dufour & Abdeljelil Farhat & Lucien Gardiol & Lynda Khalaf, 1998. "Simulation-based finite sample normality tests in linear regressions," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C154-C173.
  7. Dufour, J.-M., 1986. "Nonlinear hypotheses, inequality restrictions and non-nested hypotheses: Exact simultaneous tests in linear regressions," CORE Discussion Papers 1986016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
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Cited by:
  1. Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176.

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