IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

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

  • Sebastian J. Goerg

    ()

    (Max Planck Institute for Research on Collective Goods)

  • Johannes Kaiser

    ()

    (Deutsche Bundesbank)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.stata-journal.com/article.html?article=st0174
File Function: link to article download
Download Restriction: no

File URL: http://www.stata-journal.com/software/sj9-3/st0174/
Download Restriction: no

Article provided by StataCorp LP in its journal Stata Journal.

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

as
in new window

Handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:454-465
Contact details of provider: Web page: http://www.stata-journal.com/

Order Information: Web: http://www.stata-journal.com/subscription.html

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. 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.
  2. 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.
  3. 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 726-35, May.
  4. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:9:y:2009:i:3:p:454-465. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

or (Lisa Gilmore)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.