Abstract
In this paper the limiting distribution of Carmér-von Mises-Smirnov goodness of fit test statistic discussed when the parameters are estimated from the samle. Using the general theory of Durbin (1973 a and b) a method of deriving the limiting moment generating function for the test statistic is proposed under null and under a sequence of local alternatives. Applying this method, the limiting moment generating functions are evaluated for logistic and Cauchy distributions in the case of efficient estimation. Some results of numerical computation are also given.
