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Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function

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Author Info

  • Sebastian J. Goerg

    ()
    (Max Planck Institute for Research on Collective Goods)

  • Johannes Kaiser

    ()
    (Deutsche Bundesbank)

Abstract

In statistics, two-sample tests are used to determine whether two sam- ples 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 distribution- free 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.

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Bibliographic Info

Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 9 (2009)
Issue (Month): 3 (September)
Pages: 454-465

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Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:454-465

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Related research

Keywords: escftest; nonparametric tests; Kolomogorov–Smirnov; Epps–Singleton; two-sample case;

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Cited by:
  1. Dirk Engelmann & Alistair Munro & Marieta Valente, 2012. "On the behavioural relevance of optional and mandatory impure public goods: results from a laboratory experiment," GRIPS Discussion Papers 11-17, National Graduate Institute for Policy Studies.
  2. Christoph Engel, 2010. "Dictator Games: A Meta Study," Working Paper Series of the Max Planck Institute for Research on Collective Goods 2010_07, Max Planck Institute for Research on Collective Goods, revised Jan 2011.

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