Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2011-05-19
Number: 11-083/1
Author-Name: Jeroen Hinloopen
Author-Email: J.Hinloopen@uva.nl
Author-Workplace-Name: University of Amsterdam
Title: On the Exact Finite Sample Distribution of the L1 -FCvM Test Statistic
Abstract: We derive the exact finite sample distribution of the <I>L<SUB>1</SUB></I>-version ofthe Fisz-Cramér-von Mises test statistic (<I>L<SUB>1</SUB></I>-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size <I>n</I> absent ties. Next, we order this set according to the correspondingvalue of <I>L<sub>1</sub></I>-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.
Classification-JEL: C12, C14, C46
Keywords: Sample p-p plot, EDF test, finite sample distribution, limiting distribution
File-Url: https://papers.tinbergen.nl/11083.pdf
File-Format: application/pdf
File-Size: 323672 bytes
Handle: RePEc:tin:wpaper:20110083