Small Sample Properties of the Wilcoxon Signed Rank Test with Discontinuous and Dependent Observations
Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics
Jens J. Krüger
Darmstadt University of Technology
July 5, 2007
Jena Economic Research Paper No. 2007-032
This Monte-Carlo study investigates sensitivity of the Wilcoxon signed rank test to certain assumption violations in small samples. Emphasis is put on within-sample-dependence, between-sample dependence, and the presence of ties. Our results show that both assumption violations induce severe size distortions and entail power losses. Surprisingly, these consequences do vary substantially with other properties the data may display. Results provided are particularly relevant for experimental settings where ties and within-sample dependence are frequently observed.
Number of Pages in PDF File: 31
Keywords: Wilcoxon signed rank test, ties, dependent observations, size and power
JEL Classification: C12, C14, C15
Date posted: October 18, 2007
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