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A k-sample homogeneity test: the Harmonic Weighted Mass index

Author

Listed:
  • Jeroen Hinloopen

    (University of Amsterdam)

  • Rien J.L.M. Wagenvoort

    (European Investment Bank, Economic and Financial Studies)

  • Charles van Marrewijk

    (Utrecht University, Utrecht School of Economics)

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 labeled 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.

Suggested Citation

  • Jeroen Hinloopen & Rien J.L.M. Wagenvoort & Charles van Marrewijk, 2012. "A k-sample homogeneity test: the Harmonic Weighted Mass index," International Econometric Review (IER), Econometric Research Association, vol. 4(1), pages 17-39, April.
    • Handle: RePEc:erh:journl:v:4:y:2012:i:1:p:17-39
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    References listed on IDEAS

    as
    1. Jeroen Hinloopen & Rien Wagenvoort, 2010. "Identifying All Distinct Sample P-P Plots, with an Application to the Exact Finite Sample Distribution of the L1-FCvM Test Statistic," Tinbergen Institute Discussion Papers 10-083/1, Tinbergen Institute.
    2. A. J. Girling, 2000. "Rank statistics expressible as integrals under P–P‐plots and receiver operating characteristic curves," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 367-382.
    3. Jean-Marie Dufour & Jan F. Kiviet, 1998. "Exact Inference Methods for First-Order Autoregressive Distributed Lag Models," Econometrica, Econometric Society, vol. 66(1), pages 79-104, January.
    4. Schmid, Friedrich & Trede, Mark, 1995. "A distribution free test for the two sample problem for general alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 20(4), pages 409-419, October.
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    Cited by:

    1. Steven Brakman & Tijl Hendrich & Charles van Marrewijk & Jennifer Olsen, 2023. "On the revealed comparative advantages of Dutch cities," Review of International Economics, Wiley Blackwell, vol. 31(3), pages 785-825, August.
    2. Steven Brakman & Charles Van Marrewijk, 2017. "A closer look at revealed comparative advantage: Gross-versus value-added trade flows," Papers in Regional Science, Wiley Blackwell, vol. 96(1), pages 61-92, March.
    3. Steven Brakman & Harry Garretsen & Charles van Marrewijk & Charles van Marrewijk, 2015. "The Location of Cross-Border Mergers & Acquisitions in the USA," CESifo Working Paper Series 5331, CESifo.
    4. Steven Brakman & Tijl Hendrich & Charles van Marrewijk & Jennifer Olsen & Charles van Marrewijk, 2020. "The Comparative Advantage of Dutch Cities," CESifo Working Paper Series 8649, CESifo.

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    More about this item

    Keywords

    k-sample EDF test; p-p plot; d-d plot; Power;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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