Who gives direction to statistical testing? Best practice meets mathematically correct tests

Karl Schlag

We are interested in statistical tests that are able to uncover that one
method is better than another one. The Wilcoxon-Mann-Whitney rank-sum
and the Wilcoxon sign-rank test are the most popular tests for showing that
two methods are different. Yet all of the 32 papers in Economics we surveyed
misused them to claim evidence that one method is better, without making
any additional assumptions. We present eight nonparametric tests that can
correctly identify which method is better in terms of a stochastic inequality,
median difference and difference in medians or means, without adding any as-
sumptions. We show that they perform very well in the data sets from the
surveyed papers. The two tests for comparing medians are novel, constructed
in the spirit of Mood’s test.

Department of Economics
No. of pages
Publication date
Austrian Fields of Science 2012
502025 Econometrics
Portal url