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 (HWM) index. We introduce the diagonal-deviation (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.
JEL Classifications: C12, C14.
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1 Jeroen Hinloopen: University of Amsterdam, FEB/ASE, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands; J.Hinloopen@uva.nl
2 Rien J.LM. Wagenvoort: European Investment Bank, Economic and Financial Studies, 100 Boulevard Konrad Adenauer, Luxemburg, Luxemburg; wagenvoo@eib.org
3 Charles J.G.M. van Marrewijk: Utrecht University, Utrecht School of Economics, Kriekenpitplein 21-22, 3584 EC Utrecht, The Netherlands; J.G.M.vanMarrewijk@uu.nl.