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

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  • 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.

Suggested Citation

  • Sebastian J. Goerg & Johannes Kaiser, 2009. "Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function," Stata Journal, StataCorp LP, vol. 9(3), pages 454-465, September.
  • Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:454-465
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    1. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Eckel, Catherine C & Grossman, Philip J, 1998. "Are Women Less Selfish Than Men? Evidence from Dictator Experiments," Economic Journal, Royal Economic Society, vol. 108(448), pages 726-735, May.
    3. Sebastian J. Goerg & Gari Walkowitz, 2008. "Presentation Effects in Cross-Cultural Experiments - An Experimental Framework for Comparisons," Bonn Econ Discussion Papers bgse4_2008, University of Bonn, Germany.
    4. Hoffman, Elizabeth & McCabe, Kevin A & Smith, Vernon L, 1996. "On Expectations and the Monetary Stakes in Ultimatum Games," International Journal of Game Theory, Springer;Game Theory Society, vol. 25(3), pages 289-301.
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    Cited by:

    1. Joanna Tyrowicz & Magdalena Smyk & Lucas van der Velde, 2018. "A cautionary note on the reliability of the online survey data – the case of Wage Indicator," IAAEU Discussion Papers 201805, Institute of Labour Law and Industrial Relations in the European Union (IAAEU).
    2. Christoph Engel, 2011. "Dictator games: a meta study," Experimental Economics, Springer;Economic Science Association, vol. 14(4), pages 583-610, November.
    3. Dirk Engelmann & Alistair Munro & Marieta Valente, 2011. "On the behavioural relevance of optional and mandatory impure public goods: results from a laboratory experiment," NIMA Working Papers 45, Núcleo de Investigação em Microeconomia Aplicada (NIMA), Universidade do Minho.
    4. Alberto Cavallo & Guillermo Cruces & Ricardo Perez-Truglia, 2014. "Inflation Expectations, Learning and Supermarket Prices," NBER Working Papers 20576, National Bureau of Economic Research, Inc.
    5. Elwyn Davies & Marcel Fafchamps, 2017. "When No Bad Deed Goes Punished: Relational Contracting in Ghana versus the UK," NBER Working Papers 23123, National Bureau of Economic Research, Inc.
    6. Alberto Cavallo & Guillermo Cruces & Ricardo Perez-Truglia, 2017. "Inflation Expectations, Learning, and Supermarket Prices: Evidence from Survey Experiments," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(3), pages 1-35, July.
    7. Chmura, Thorsten & Goerg, Sebastian J. & Weiss, Pia, 2016. "Natural groups and economic characteristics as driving forces of wage discrimination," European Economic Review, Elsevier, vol. 90(C), pages 178-200.
    8. Cardella, Eric & Depew, Briggs, 2016. "Testing for the Ratchet Effect: Evidence from a Real-Effort Work Task," IZA Discussion Papers 9981, Institute for the Study of Labor (IZA).
    9. Marcelo L. Bérgolo & Rodrigo Ceni & Guillermo Cruces & Matias Giaccobasso & Ricardo Perez-Truglia, 2017. "Tax Audits as Scarecrows: Evidence from a Large-Scale Field Experiment," NBER Working Papers 23631, National Bureau of Economic Research, Inc.
    10. Alberto Cavallo & Guillermo Cruces & Ricardo Perez-Truglia, 2016. "Learning from Potentially-Biased Statistics: Household Inflation Perceptions and Expectations in Argentina," NBER Working Papers 22103, National Bureau of Economic Research, Inc.
    11. Drichoutis, Andreas C. & Vassilopoulos, Achilleas, 2016. "Intertemporal stability of survey-based measures of risk and time preferences over a three-year course," MPRA Paper 73548, University Library of Munich, Germany.
    12. Jakobsson, Niklas & Kotsadam, Andreas & Syse, Astri & Øien, Henning, 2016. "Gender bias in public long-term care? A survey experiment among care managers," Journal of Economic Behavior & Organization, Elsevier, vol. 131(PB), pages 126-138.
    13. Alberto Cavallo & Guillermo Cruces & Ricardo Perez-Truglia, 2016. "Learning from Potentially Biased Statistics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(1 (Spring), pages 59-108.
    14. repec:eee:gamebe:v:107:y:2018:i:c:p:182-202 is not listed on IDEAS

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