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ON SMOOTH TESTS FOR THE EQUALITY OF DISTRIBUTIONS

Published online by Cambridge University Press:  12 January 2021

Xiaojun Song  and
Zhijie Xiao
Xiaojun Song
Affiliation:
Peking University
Zhijie Xiao*
Affiliation:
Boston College
*
Address correspondence to Department of Economics, Boston College, Chestnut Hill, MA 02467, USA; e-mail: [email protected]. Xiao thanks Boston College for research support.
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Abstract

This note re-investigates the smooth tests for the equality of distributions introduced by Bera et al. (2013, Econometric Theory 29, 419–446) and provides a modified smooth test which works for the general case with two sample sizes m and n. Asymptotic properties of the proposed test statistic under both the null and the alternative hypothesis are studied.

Type
MISCELLANEA
Information
Econometric Theory , Volume 38 , Issue 1 , February 2022 , pp. 194 - 208
Copyright
© The Author(s), 2021. Published by Cambridge University Press

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Footnotes

We thank two referees, Yoon-Jae Whang (the Co-Editor), Peter Phillips, Norbert Henze, Anil Bera, Aurobindo Ghosh, and Tong Yang for their very helpful comments. Song acknowledges the financial support from China's National Key Research Special Program Grants 2016YFC0207705, the National Natural Science Foundation of China (Grant No. 71532001, 71973005), and Key Laboratory of Mathematical Economics and Quantitative Finance (Peking University), Ministry of Education, China.

References

REFERENCES

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