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The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data

By Jeremy Smith

Abstract

In this paper we conduct a Monte Carlo study to determine the power of\ud Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see\ud Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis,\ud as we vary the number and location of the partition points. Simulations are conducted\ud for small and moderate sample sizes. While it is generally recommended that to\ud improve the power of the goodness-of-fit test the partition points are equiprobable, we\ud find that power can be improved by the use of non-equiprobable partitions

Topics: HB
Publisher: University of Warwick, Department of Economics
DOI identifier: 10.1081/ETC-200040782
OAI identifier: oai:wrap.warwick.ac.uk:126

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