Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86902
Authors: 
Hinloopen, Jeroen
Year of Publication: 
2011
Series/Report no.: 
Tinbergen Institute Discussion Paper 11-083/1
Abstract: 
We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of L1-FCvM. Finally, we link these values to theprobabilities that the underlying p-p plots emerge. Comparing the finitesample distribution with the (known) limiting distribution showsthat the latter can always be used for hypothesis testing: although forfinite samples the critical percentiles of the limiting distribution differfrom the exact values, this will not lead to differences in the rejectionof the underlying hypothesis.
Subjects: 
Sample p-p plot
EDF test
finite sample distribution
limiting distribution
JEL: 
C12
C14
C46
Document Type: 
Working Paper

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