WASSTEST: Stata module to perform a two-sample Wasserstein Distance test for equality of distributions

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

Statistical Software Components from Boston College Department of Economics

Abstract: wasstest performs a two-sample Wasserstein distance permutation test to assess whether two samples come from the same distribution. The Wasserstein distance (also known as Earth Mover's Distance) measures the minimum "work" required to transform one distribution into another. Unlike Cramer-von Mises and Anderson-Darling tests which focus on vertical differences between CDFs, the Wasserstein distance considers both vertical differences and the horizontal distances between points, making it sensitive to both location and spread differences. The permutation test provides an exact 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 (search for similar items in EconPapers)
Date: 2025-12-24
Note: This module should be installed from within Stata by typing "ssc install wasstest". 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/w/wasstest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wasstest.sthlp help file (text/plain)

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