KSTEST: Stata module to perform weighted two-sample Kolmogorov-Smirnov equality-of-distributions test

Ariel Linden ()
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Ariel Linden: Linden Consulting Group, LLC

Statistical Software Components from Boston College Department of Economics

Abstract: kstest performs a (optionally weighted) two-sample Kolmogorov-Smirnov (KS) permutation test to assess whether two samples come from the same distribution. The KS statistic is the single largest absolute difference between the two empirical cumulative distribution functions (ECDFs), making it most sensitive to a discrepancy that is large and concentrated at one location, and less sensitive to differences spread across the distribution or concentrated in the tails (see adtest and cvmtest for alternative tests better suited to those cases). 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; Kolmogorov-Smirnov; comparisons; weighting (search for similar items in EconPapers)
Date: 2026-07-17
Note: This module should be installed from within Stata by typing "ssc install kstest". 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/k/kstest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/kstest.sthlp help file (text/plain)

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