Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86330
Authors: 
Hinloopen, Jeroen
van Marrewijk, Charles
Year of Publication: 
2005
Series/Report no.: 
Tinbergen Institute Discussion Paper 05-122/1
Abstract: 
The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is derived, assuming the two underlying samples to be drawn from the same distribution. The robustness of the concomitant test statistic is assessed, and four different methods are discussed for applying the HM test in case of asymmetric samples.
Subjects: 
Distribution
PP-plot
test statistic
critical percentile values
robustness.
JEL: 
C12
C14
Document Type: 
Working Paper

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