Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2005-12-22
Revision-Date: 2005-12-30
Number: 05-122/1
Author-Name: Jeroen Hinloopen
Author-Email: j.hinloopen@uva.nl
Author-Workplace-Name: Universiteit van Amsterdam
Author-Name: Charles van Marrewijk
Author-Email: vanmarrewijk@few.eur.nl
Author-Workplace-Name: Erasmus Universiteit Rotterdam
Title: Comparing Distributions: The Harmonic Mass Index
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.
Classification-JEL: C12; C14
Keywords: Distribution; PP-plot; test statistic; critical percentile values; robustness.
File-Url: https://papers.tinbergen.nl/05122.pdf
File-Format: application/pdf
File-Size: 438229 bytes
Handle: RePEc:tin:wpaper:20050122