A smooth test for the equality of distributions

Anil K. Bera, Aurobindo Ghosh, Zhijie Xiao

Research output: Contribution to journalArticlepeer-review


The two-sample version of the celebrated Pearson goodness-of-fit problem has been a topic of extensive research, and several tests like the Kolmogorov-Smirnov and Cramér-von Mises have been suggested. Although these tests perform fairly well as omnibus tests for comparing two probability density functions (PDFs), they may have poor power against specific departures such as in location, scale, skewness, and kurtosis. We propose a new test for the equality of two PDFs based on a modified version of the Neyman smooth test using empirical distribution functions minimizing size distortion in finite samples. The suggested test can detect the specific directions of departure from the null hypothesis. Specifically, it can identify deviations in the directions of mean, variance, skewness, or tail behavior. In a finite sample, the actual probability of type-I error depends on the relative sizes of the two samples. We propose two different approaches to deal with this problem and show that, under appropriate conditions, the proposed tests are asymptotically distributed as chi-squared. We also study the finite sample size and power properties of our proposed test. As an application of our procedure, we compare the age distributions of employees with small employers in New York and Pennsylvania with group insurance before and after the enactment of the community rating legislation in New York. It has been conventional wisdom that if community rating is enforced (where the group health insurance premium does not depend on age or any other physical characteristics of the insured), then the insurance market will collapse, since only older or less healthy patients would prefer group insurance. We find that there are significant changes in the age distribution in the population in New York owing mainly to a shift in location and scale.

Original languageEnglish (US)
Pages (from-to)419-446
Number of pages28
JournalEconometric Theory
Issue number2
StatePublished - Apr 2013

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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