CVMTEST: Stata module to perform a two-sample Cramer-von Mises equality-of-distributions test

Ariel Linden

Statistical Software Components from Boston College Department of Economics

Abstract: cvmtest performs a (optionally weighted) two-sample Cramer-von Mises (CVM) permutation test to assess whether two samples come from the same distribution. The CVM statistic sums the squared discrepancy between the two empirical cumulative distribution functions (ECDFs) across every distinct value in the combined sample, with no variance standardization, making it best suited to detecting a discrepancy that is diffuse across the distribution, and less sensitive than Kolmogorov-Smirnov (kstest) to a single large, localized discrepancy or than Anderson-Darling (adtest) to a discrepancy concentrated in the tails. The permutation test provides a valid p-value by comparing the observed statistic to its distribution under random reassignment of group labels.

Language: Stata
Requires: Stata version 11
Keywords: equality of distributions; two-sample; comparisons; weighting (search for similar items in EconPapers)
Date: 2025-12-24, Revised 2026-07-17
Note: This module should be installed from within Stata by typing "ssc install cvmtest". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/c/cvmtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/cvmtest.sthlp help file (text/plain)

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