Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/86930
Authors: 
Hinloopen, Jeroen
Wagenvoort, Rien
Year of Publication: 
2010
Series/Report no.: 
Tinbergen Institute Discussion Paper 10-083/1
Abstract: 
P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent ties. Distributions of EDF test statistics are embedded in this set. It is thus used to derive the exact finite sample distribution of the L1-version of the Fisz-Cramér-von Mises test. Comparing this distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing: although for finite samples the critical percentiles of the limiting distribution differ from the exact values, this will not lead to differences in the rejection of the underlying hypothesis.
Subjects: 
Sample p-p plot
EDF test
finite sample distribution
limiting distribution
JEL: 
C12
C14
C46
Document Type: 
Working Paper

Files in This Item:
File
Size
297.48 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.