The properties of some goodness-of-fit tests
The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally claimed. For the case of equiprobable classes, where the general components tests remain valid, a Monte Carlo study shows that tests directed towards skewness and kurtosis may have low power, due to differences between the class boundaries and the intersection points of the distributions being compared. The power of individual component tests can be increased by the use of nonequiprobable classes.
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- Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997.
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NBER Working Papers
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97-6, Federal Reserve Bank of Philadelphia.
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- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
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