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Information-Theoretic Distribution Test with Application to Normality

Author

Listed:
  • Thanasis Stengos

    (University of Guelph, Canada and The Rimini Centre for Economics Analysis, Rimini, Italy)

  • Ximing Wu†

    (Texas A&M University, USA and University of Guelph, Canada)

Abstract
We derive general distribution tests based on the method of Maximum Entropy density. The proposed tests are derived from maximizing the differential entropy subject to moment constraints. By exploiting the equivalence between the Maximum Entropy and Maximum Likelihood estimates of the general exponential family, we can use the conventional Likelihood Ratio, Wald and Lagrange Multiplier testing principles in the maximum entropy framework. In particular we use the Lagrange Multiplier method to derive tests for normality and their asymptotic properties. Monte Carlo evidence suggests that the proposed tests have desirable small sample properties.

Suggested Citation

  • Thanasis Stengos & Ximing Wu†, 2007. "Information-Theoretic Distribution Test with Application to Normality," Working Paper series 24_07, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:24_07
    as

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    References listed on IDEAS

    as
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    Cited by:

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    2. Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru, 2023. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Journal of Econometric Methods, De Gruyter, vol. 12(1), pages 57-83, January.
    3. Hend Auda, 2013. "Novel symmetry tests in regression models based on Gini mean difference," METRON, Springer;Sapienza Università di Roma, vol. 71(1), pages 21-32, June.
    4. Ekrem Kilic, 2005. "A Nonparametric Way of Distribution Testing," Econometrics 0510006, University Library of Munich, Germany.
    5. Meniago, Christelle & Mukuddem-Petersen, Janine & Petersen, Mark A. & Mongale, Itumeleng P., 2013. "What causes household debt to increase in South Africa?," Economic Modelling, Elsevier, vol. 33(C), pages 482-492.
    6. Marc S. Paolella, 2015. "New Graphical Methods and Test Statistics for Testing Composite Normality," Econometrics, MDPI, vol. 3(3), pages 1-29, July.
    7. Fournier, B. & Rupin, N. & Bigerelle, M. & Najjar, D. & Iost, A. & Wilcox, R., 2007. "Estimating the parameters of a generalized lambda distribution," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2813-2835, March.

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    More about this item

    Keywords

    distribution test; maximum entropy; normality;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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