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There is an increasing awareness of the potential of nonlinear modeling in regional science, which can partly be explained by the recognition of the limitations of conventional equilibrium models in complex situationsand partly by the easy availability and accessibility of sophisticated...
Persistent link: https://www.econbiz.de/10011299990
We derive the exact finite sample distribution of the L1-version ofthe Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterizethe set of all distinct sample p-p plots for two balanced sampleof size n absent ties. Next, we order this set according to the correspondingvalue of...
Persistent link: https://www.econbiz.de/10011386478
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...
Persistent link: https://www.econbiz.de/10011377121
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
The information contained in PP-plots is transformed into a single number. The resulting Harmonic Mass (HM) index is distribution free and its sample counterpart is shown to be consistent. For a wide class of CDFs the exact analytical expression of the distribution of the sample HM index is...
Persistent link: https://www.econbiz.de/10011348352
P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent...
Persistent link: https://www.econbiz.de/10011381382
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10010229896
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