Permutation tests for equality of distributions of functional data

Federico A. Bugni, Joel L. Horowitz*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Economic data are often generated by stochastic processes that take place in continuous time, though observations may occur only at discrete times. Such data are called functional data. This paper is concerned with comparing two or more stochastic processes that generate functional data. The data may be produced by a randomized experiment in which there are multiple treatments. The paper presents a method for testing the hypothesis that the same stochastic process generates all the functional data. The results of Monte Carlo experiments and an application to an experiment on pricing of natural gas illustrate the usefulness of the test.

Original languageEnglish (US)
Pages (from-to)861-877
Number of pages17
JournalJournal of Applied Econometrics
Volume36
Issue number7
DOIs
StatePublished - Nov 1 2021

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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