This test is the nonparametric version of one way ANOVA and is
a straightforward generalization of the Wilcoxon test for two
independent samples. If we have K independent samples of sizes
, we combine all the samples into one large sample,
sort the result from smallest to largest and assign ranks (again
assigning the average rank to any observation in a group of tied
observations), and then
find 
, the average of the ranks of the observations in the ith
sample. The test statistic is then
and reject the null hypothesis that all K distributions are the same
if 
. Again, Stataquest will return the p value for the
test.