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Testing Special Cases of the GB2 Distribution: Comment and an Extension

William E. Griffiths & R. Carter Hill

Journal of Income Distribution2025https://doi.org/10.25071/1874-6322.40621article
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Abstract

We extend earlier work (Griffiths and Hill, 2025) by pointing out that a score test developed by Prentice (1975) for testing whether a normal distribution is an adequate representation of the log of a GB2 random variable is suitable for testing whether a lognormal distribution is a reasonable special case of the GB2 distribution. Prentice’s test involves testing the skewness and kurtosis of the logs of the observations. We use a simulation study to investigate its power and size.

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https://doi.org/https://doi.org/10.25071/1874-6322.40621

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@article{william2025,
  title        = {{Testing Special Cases of the GB2 Distribution: Comment and an Extension}},
  author       = {William E. Griffiths & R. Carter Hill},
  journal      = {Journal of Income Distribution},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.25071/1874-6322.40621},
}

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Testing Special Cases of the GB2 Distribution: Comment and an Extension

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F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
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