Template-Type: ReDIF-Article 1.0
Author-Name:  Jeroen Hinloopen
Author-Email: J.Hinloopen@uva.nl
Author-Workplace-Name: University of Amsterdam
Author-Name:  Rien J.L.M. Wagenvoort
Author-Email: wagenvoo@eib.org
Author-Workplace-Name: European Investment Bank, Economic and Financial Studies
Author-Name:  Charles van Marrewijk
Author-Email: J.G.M.vanMarrewijk@uu.nl
Author-Workplace-Name: Utrecht University, Utrecht School of Economics
Title:  A k-sample homogeneity test: the Harmonic Weighted Mass index
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 labeled 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.
Classification-JEL: C12, C14
Keywords: k-sample EDF test, p-p plot, d-d plot, Power
Journal: International Econometric Review
Pages: 17-39
Volume: 4
Issue: 1
Year: 2012
Month: April
File-URL: http://www.era.org.tr/makaleler/10020059.pdf
File-Format: Application/pdf
Handle: RePEc:erh:journl:v:4:y:2012:i:1:p:17-39