Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2010-08-30
Number: 10-083/1
Author-Name: Jeroen Hinloopen
Author-Workplace-Name: University of Amsterdam
Author-Name: Rien Wagenvoort
Author-Workplace-Name: European Investment Bank, Luxemburg
Title: Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic
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 <I>n</I> 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 L<sub>1</sub>-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.
Classification-JEL: C12, C14, C46
Keywords: Sample p-p plot, EDF test, finite sample distribution, limiting distribution
File-Url: https://papers.tinbergen.nl/10083.pdf
File-Format: application/pdf
File-Size: 304623 bytes
Handle: RePEc:tin:wpaper:20100083