Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238799 
Year of Publication: 
2012
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 4 [Issue:] 1 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2012 [Pages:] 17-39
Publisher: 
Econometric Research Association (ERA), Ankara
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 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.
Subjects: 
k-sample EDF test
p-p plot
d-d plot
Power
JEL: 
C12
C14
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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