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Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data

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Author Info

  • Boero, Gianna

    (Department of Economics, University of Warwick)

  • Smith, Jeremy

    (Department of Economics, University of Warwick)

  • Wallis, Kenneth F

    (Department of Economics, University of Warwick)

Abstract

In this paper we conduct a Monte Carlo study to determine the power of Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis, as we vary the number and location of the partition points. Simulations are conducted for small and moderate sample sizes. While it is generally recommended that to improve the power of the goodness-of-fit test the partition points are equiprobable, we find that power can be improved by the use of non-equiprobable partitions.

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File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp694.pdf
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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 694.

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Length: 34 pages
Date of creation: 2004
Date of revision:
Handle: RePEc:wrk:warwec:694

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Keywords: Pearson’s Goodness-of-fit test ; Distributional assumptions ; Monte Carlo ; Normality ; partitions;

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References

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  1. Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, Elsevier, vol. 19(2), pages 165-175.
  2. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2004. "Decompositions of Pearson's chi-squared test," Journal of Econometrics, Elsevier, Elsevier, vol. 123(1), pages 189-193, November.
  3. Anderson, Gordon, 1994. "Simple tests of distributional form," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 265-276, June.
  4. Marrocu, Emanuela & Gianna Boero, 2003. "The Performance of SETAR models by Regime: A Conditional Evaluation of Interval and Density Forecasts," Royal Economic Society Annual Conference 2003, Royal Economic Society 147, Royal Economic Society.
  5. repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
  6. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, Econometric Society, vol. 64(5), pages 1183-93, September.
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Cited by:
  1. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 772, Institut d'Économie Industrielle (IDEI), Toulouse.
  2. Gordon Anderson, 2008. "The empirical assessment of multidimensional welfare, inequality and poverty: Sample weighted multivariate generalizations of the Kolmogorov–Smirnov two sample tests for stochastic dominance," Journal of Economic Inequality, Springer, Springer, vol. 6(1), pages 73-87, March.
  3. Oller, Lars-Erik & Teterukovsky, Alex, 2007. "Quantifying the quality of macroeconomic variables," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(2), pages 205-217.

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