University of Amsterdam, FEB/ASE, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands
European Investment Bank, Economic and Financial Studies, 100 Boulevard Konrad Adenauer, Luxemburg, Luxemburg
Utrecht University, Utrecht School of Economics, Kriekenpitplein 21-22, 3584 EC Utrecht, The Netherlands
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that allows the index to be computed exactly under all circumstances. This two-dimensional d-d plot accommodates a straightforward extension to the k-sample HWM index, with k > 2. A Monte Carlo simulation based on an example involving long-term sovereign credit ratings illustrates the power of the HWM test.