Abstract
In statistics, two-sample tests are used to determine whether two samples have been drawn from the same population. An example of such a test is the widely used Kolmogorov-Smirnov two-sample test. There are other distributionfree tests that might be applied in similar occasions. In this article, we describe a two-sample omnibus test introduced by Epps and Singleton, which usually has a greater power than the Kolmogorov-Smirnov test although it is distribution free. The superiority of the Epps-Singleton characteristic function test is illustrated in two examples. We compare the two tests and supplement this contribution with a Stata implementation of the omnibus test.
Original language | English |
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Pages (from-to) | 454-465 |
Number of pages | 12 |
Journal | Stata Journal |
Volume | 9 |
Issue number | 3 |
DOIs | |
State | Published - 2009 |
Keywords
- Eppssingleton
- Escftest
- Kolomogorov-smirnov
- Nonparametric tests
- St0174
- Two-sample case