Unrecoverable cost test: forgetting that executing Kolmogorov-Smirnov tests operationalizes a methodology does not make them tangible proof.
A test only measures distributional similarity, it does not validate underlying hypotheses or interpretation.
If one compares the returns of a Canadian provincial pension fund with those of a strict control regime, statistical similarities can deceive.
Economic mechanisms and institutional constraints differ, making direct interpretation of test results problematic, even if distributions are similar.