For testing whether a distribution function is heavy tailed, we study the
Kolmogorov test, Berk-Jones test, score test and their integrated
versions. A comparison is conducted via Bahadur efficiency and simulations.
The score test and the integrated score test show the best performance.
Although the Berk-Jones test is more powerful than the Kolmogorov-Smirnov
test, this does not hold true for their integrated versions; this differs
from results in \\citet{EinmahlMckeague2003}, which shows the difference of
Berk-Jones test in testing distributions and tails