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http://ssrn.com/abstract=1021169
 
 

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Small Sample Properties of the Wilcoxon Signed Rank Test with Discontinuous and Dependent Observations


Nadine Chlass


Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics

Jens J. Krüger


University of Jena - Economics Department

July 5, 2007

Jena Economic Research Paper No. 2007-032

Abstract:     
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

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Date posted: October 18, 2007  

Suggested Citation

Chlass, Nadine and Krüger, Jens J., Small Sample Properties of the Wilcoxon Signed Rank Test with Discontinuous and Dependent Observations (July 5, 2007). Jena Economic Research Paper No. 2007-032. Available at SSRN: http://ssrn.com/abstract=1021169 or http://dx.doi.org/10.2139/ssrn.1021169

Contact Information

Nadine Chlass
Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics ( email )
Kahlaische Strasse 10
D-07745 Jena, 07745
Germany
Jens J. Krüger (Contact Author)
University of Jena - Economics Department ( email )
Carl-Zeiss-Str. 3
07743 Jena
Germany
+49 3641 943 203 (Phone)
+49 3641 943 202 (Fax)
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