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ADTEST: Stata module to perform a two-sample Anderson-Darling equality-of-distributions test

Author

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  • Ariel Linden

    (Linden Consulting Group, LLC)

Programming Language

Abstract

adtest performs a two-sample Anderson-Darling (AD) permutation test to assess whether two samples come from the same distribution. The AD statistic weights discrepancies between empirical cumulative distribution functions (ECDFs) by the inverse of their variance, making it more sensitive to differences in the distribution tails compared to other EDF-based tests. The permutation test provides an exact p-value by comparing the observed statistic to its distribution under random reassignment of group labels.

Suggested Citation

  • Ariel Linden, 2025. "ADTEST: Stata module to perform a two-sample Anderson-Darling equality-of-distributions test," Statistical Software Components S459559, Boston College Department of Economics, revised 09 Jan 2026.
    • Handle: RePEc:boc:bocode:s459559
    Note: This module should be installed from within Stata by typing "ssc install adtest". 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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    File URL: http://fmwww.bc.edu/repec/bocode/a/adtest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/adtest.sthlp
    File Function: help file
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