Abstract
Suppose we observe a random sample from . Here, to the best of our knowledge, we provide the first parametric test that F 0 is any given cumulative distribution function. The test is based on the first four sample moments and is most practicable when F 0 is symmetric. Simulation studies suggest that the test compares well with non-parametric alternatives and that it is consistent. A real data application is also presented.
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Acknowledgements
The authors thank the editor, the associate editor, and the two referees for careful reading and for their comments which greatly improved the paper.