ADTEST: Stata module to perform a two-sample Anderson-Darling 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: adtest performs a (optionally weighted) two-sample Anderson-Darling (AD) permutation test to assess whether two samples come from the same distribution. The AD statistic standardizes the squared discrepancy between the two empirical cumulative distribution functions (ECDFs) by its variance under the null, which is smallest at the center of the pooled distribution and largest near its tails, making it most sensitive to a discrepancy concentrated in the tails, and better suited than Cramer-von Mises (cvmtest) to that case, though less sensitive than Kolmogorov-Smirnov (kstest) to a single large, localized discrepancy in the center of the distribution. 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 adtest". 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/a/adtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/adtest.sthlp help file (text/plain)

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