Goodness of Fit: An Axiomatic Approach

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2015
Volume: 33
Issue: 1
Pages: 54-67

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:33:y:2015:i:1:p:54-67
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25