Kolmogorov-Smirnov type test for generated variables

Otsu, Taisuke ORCID: 0000-0002-2307-143X and Taniguchi, Go (2020) Kolmogorov-Smirnov type test for generated variables. Economics Letters, 195. ISSN 0165-1765

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Abstract

Distribution homogeneity testing, particularly based on the Kolmogorov-Smirnov statistic, has been applied in various empirical studies. In empirical economic analysis, it is often the case that economic variables of interest are obtained as estimated values or residuals of preliminary model fits, called generated variables. In this paper, we extend the Kolmogorov- Smirnov type homogeneity test to accommodate such generated variables, and propose an asymptotically valid bootstrap inference procedure. A small simulation study illustrates that it is crucial for reliable inference to account for estimation errors in the generated variables. The proposed method is applied to compare the total factor productivities across different countries.

Item Type:	Article
Official URL:	https://www.sciencedirect.com/journal/economics-le...
Additional Information:	© 2020 Elsevier B.V.
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	08 Jul 2020 11:15
Last Modified:	12 Dec 2024 02:14
URI:	http://eprints.lse.ac.uk/id/eprint/105571

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