Goodness of fit: an axiomatic approach

Cowell, Frank A., Davidson, Russell and Flachaire, Emmanuel (2015) Goodness of fit: an axiomatic approach. Journal of Business & Economic Statistics, 33 (1). pp. 54-67.

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Abstract

An axiomatic approach is used to develop a one-parameter family of measures of divergence between distributions. These measures can be used to perform goodness-of-fit tests with good statistical properties. Asymptotic theory shows that the test statistics have well-defined limiting distributions which are, however, analytically intractable. A parametric bootstrap procedure is proposed for implementation of the tests. The procedure is shown to work very well in a set of simulation experiments, and to compare favorably with other commonly used goodness-of-fit tests. By varying the parameter of the statistic, one can obtain information on how the distribution that generated a sample diverges from the target family of distributions when the true distribution does not belong to that family. An empirical application analyzes a U.K. income dataset.

Item Type:	Article
Official URL:	http://www.tandfonline.com/
Additional Information:	© 2015 Taylor & Francis
Library of Congress subject classification:	H Social Sciences > HB Economic Theory
Sets:	Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited:	08 Apr 2016 09:35
URL:	http://eprints.lse.ac.uk/65993/

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