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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- Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-93, September.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
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97-6, Federal Reserve Bank of Philadelphia.
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- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," NBER Technical Working Papers 0215, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1998.
"Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters,"
98-15, New York University, Leonard N. Stern School of Business, Department of Economics.
- Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc.
- repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
- Boero, Gianna & Marrocu, Emanuela, 2002. "The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 513-42, November.
- Arulampalam, W. & Robin A. Naylor & Jeremy P. Smith, 2002. "University of Warwick," Royal Economic Society Annual Conference 2002 9, Royal Economic Society.
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