KSTEST: Stata module to perform a k-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) k-sample Kolmogorov-Smirnov (KS) permutation test to assess whether k >= 2 samples come from the same distribution, as proposed by Kiefer (1959). It is the k-sample generalization of the two-sample test (Kolmogorov 1933; Smirnov 1948). When k > 2, there is no single pairwise comparison to make, so kstest instead compares each group's empirical CDF to the (weighted) pooled empirical CDF of all groups combined and combines the discrepancies into a single statistic based on the T statistic of Kiefer (1959).

Language: Stata
Requires: Stata version 11
Keywords: equality of distributions; k-sample; Kolmogorov-Smirnov; comparisons; weighting (search for similar items in EconPapers)
Date: 2026-07-17, Revised 2026-08-05
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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