A K-Sample Homogeneity Test Based on the Quantification of the p-p Plot: The Harmonic Weighted Mass Index

Tinbergen Institute Discussion Paper No. 2008-100/1

47 Pages Posted: 21 Oct 2008

See all articles by Jeroen Hinloopen

Jeroen Hinloopen

CPB Netherlands Bureau of Economic Policy Analysis; University of Amsterdam - Amsterdam School of Economics (ASE); Tinbergen Institute

Rien Wagenvoort

European Investment Bank

Charles van Marrewijk

Utrecht University - School of Economics

Date Written: October 20, 2008

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. For two balanced samples absent ties the finite sample distribution of the HWM index is derived. Simulations show that in most cases unbalanced samples and ties have little effect on this distribution. The d-d plot allows for a straightforward extension to the K-sample HWM index. As we have not been able to derive the distribution of the index for K>2, we simulate significance tables for K=3,...,15. An example involving economic growth rates of the G7 countries illustrates that the HWM test can have better power than alternative Empirical Distribution Function tests.

Keywords: EDF test, p-p plot, power, d-d plot

JEL Classification: C12, C14

Suggested Citation

Hinloopen, Jeroen and Wagenvoort, Rien and van Marrewijk, Charles, A K-Sample Homogeneity Test Based on the Quantification of the p-p Plot: The Harmonic Weighted Mass Index (October 20, 2008). Tinbergen Institute Discussion Paper No. 2008-100/1, Available at SSRN: https://ssrn.com/abstract=1287592 or http://dx.doi.org/10.2139/ssrn.1287592

Jeroen Hinloopen (Contact Author)

CPB Netherlands Bureau of Economic Policy Analysis ( email )

P.O. Box 80510
2508 GM The Hague, 2585 JR
Netherlands

University of Amsterdam - Amsterdam School of Economics (ASE) ( email )

Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Rien Wagenvoort

European Investment Bank ( email )

98-100 Boulevard Konrad Adenauer
L-2950
Luxembourg

Charles Van Marrewijk

Utrecht University - School of Economics ( email )

Kriekenpitplein 21-22
Adam Smith Building
Utrecht, 3584 EC
Netherlands
*31-(0)30-2539810 (Phone)

HOME PAGE: http://www.charlesvanmarrewijk.nl

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