A k-sample homogeneity test: the Harmonic Weighted Mass index

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International Econometric Review
Volume:4 Issue:1
A k-sample homogeneity test: the Harmonic Weighted Mass index

A k-sample homogeneity test: the Harmonic Weighted Mass index

Authors : Jeroen HİNLOOPEN, Rien Jlm WAGENVOORT, Charles Van MARREWİJK

Pages : 17-39

View : 11 | Download : 9

Publication Date : 2012-04-01

Article Type : Research Paper

Abstract :We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass insert ignore into journalissuearticles values(HWM); index. We introduce the diagonal-deviation insert ignore into journalissuearticles values(d-d); plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.
Keywords : K Sample EDF Test, P P Plot, D D Plot, Power

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