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

31 Pages Posted: 18 Oct 2007  

Nadine Chlass

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

Jens J. Krüger

Darmstadt University of Technology - Department of Economics

Date Written: July 5, 2007

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.

Keywords: Wilcoxon signed rank test, ties, dependent observations, size and power

JEL Classification: C12, C14, C15

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: https://ssrn.com/abstract=1021169 or http://dx.doi.org/10.2139/ssrn.1021169

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)

Darmstadt University of Technology - Department of Economics ( email )

Hochschulstr. 1
Darmstadt, D-64289
Germany

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