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

Author

Listed:
  • 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.

Suggested Citation

  • Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004. "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS) 694, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:694
    as

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    File URL: https://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/2008/twerp694.pdf
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    References listed on IDEAS

    as
    1. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2004. "Decompositions of Pearson's chi-squared test," Journal of Econometrics, Elsevier, vol. 123(1), pages 189-193, November.
    2. repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
    3. 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, vol. 19(2), pages 165-175.
    4. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-1193, September.
    5. 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 147, Royal Economic Society.
    6. Anderson, Gordon, 1994. "Simple tests of distributional form," Journal of Econometrics, Elsevier, vol. 62(2), pages 265-276, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
    2. Oller, Lars-Erik & Teterukovsky, Alex, 2007. "Quantifying the quality of macroeconomic variables," International Journal of Forecasting, Elsevier, vol. 23(2), pages 205-217.
    3. 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," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 6(1), pages 73-87, March.

    More about this item

    Keywords

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

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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