In this paper a measure of proximity of distributions, when moments are known, is proposed. Based on cases where the exact distribution is known, evidence is given that the proposed measure is accurate to evaluate the proximity of quantiles (exact vs. approximated). The measure may be applied to compare asymptotic and near-exact approximations to distributions, in situations where although being known the exact moments, the exact distribution is not known or the expression for its probability density function is not known or too complicated to handle. In this paper the measure is applied to compare newly proposed asymptotic and near-exact approximations to the distribution of the Wilks Lambda statistic when both groups of variables have an odd number of variables. This measure is also applied to the study of several cases of telescopic near-exact approximations to the exact distribution of the Wilks Lambda statistic based on mixtures of generalized near-integer gamma distributions. (c) 2006 Elsevier B.V. All rights reserved.