- On the exact finite sample distribution of the L1-FCvM test statistic
- Number of pages
- Amsterdam / Rotterdam: Tinbergen Institute
- Tinbergen Institute Discussion Paper
- Volume | Edition (Serie)
- TI 2011-083/1
- Document type
- Working paper
- Faculty of Economics and Business (FEB)
- Amsterdam School of Economics Research Institute (ASE-RI)
We derive the exact finite sample distribution of the L1-version of the Fisz-Cramér-von Mises test statistic (L1-FCvM). We first characterize the set of all distinct sample p-p plots for two balanced sample of size n absent ties. Next, we order this set according to the corresponding value of L1-FCvM. Finally, we link these values to the probabilities that the underlying p-p plots emerge. Comparing the finite sample distribution with the (known) limiting distribution shows that the latter can always be used for hypothesis testing: although for finite samples the critical percentiles of the limiting distribution differ from the exact values, this will not lead to differences in the rejection
of the underlying hypothesis.
If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library, or send a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible.