A k-sample homogeneity test: the Harmonic Weighted Mass index

Jeroen Hinloopen1, Rien J.L.M. Wagenvoort2 and Charles van Marrewijk3

Volume 4, Issue 1

   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 labeled 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. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.

  Keywords: k-sample EDF test, p-p plot, d-d plot, Power

  JEL Classifications: C12, C14


 

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1 Jeroen Hinloopen, University of Amsterdam, FEB/ASE, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands, (email: J.Hinloopen@uva.nl).
 2 Rien J.L.M. Wagenvoort, European Investment Bank, Economic and Financial Studies, 100 Boulevard Konrad Adenauer, Luxemburg, Luxemburg; (email: wagenvoo@eib.org).
 3 Charles van Marrewijk, Utrecht University, Utrecht School of Economics, Kriekenpitplein 21-22, 3584 EC Utrecht, The Netherlands; (email: J.G.M.vanMarrewijk@uu.nl).