Abstract
Basic statistics and econometrics courses stress methods based on assuming that the data or error term in regression models follow the normal distribution. Indeed, the efficiency of least squares estimates relies on the assumption of normality. In order to lessen the dependence of statistical inference on that assumption statisticians developed methods based on rank tests whose sampling distribution, under the null hypothesis, do not depend on the form of the underlying density function.
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Gastwirth, J.L. (2018). Non-Parametric Statistical Methods. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1621
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DOI: https://doi.org/10.1057/978-1-349-95189-5_1621
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