| Authors |
|
| Publication date |
2012
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| Journal |
International Econometric Review
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| Volume | Issue number |
4 | 1
|
| Pages (from-to) |
17-39
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| 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.
|
| Document type |
Article
|
| Language |
English
|
| Published at |
http://www.era.org.tr/ozetler/10020059.htm
|
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