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A K-sample homogeneity test: the Harmonic Weighted Mass index
International Econometric Review (2012)
  • Jeroen Hinloopen
  • Rien Wagenvoort
  • Charles van Marrewijk
Abstract

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.

Keywords
  • k-sample EDF test,
  • p-p plot,
  • d-d plot,
  • power
Disciplines
Publication Date
2012
Citation Information
Jeroen Hinloopen, Rien Wagenvoort and Charles van Marrewijk. "A K-sample homogeneity test: the Harmonic Weighted Mass index" International Econometric Review Vol. 4 Iss. 1 (2012)
Available at: http://works.bepress.com/hinloopen/13/