As with all statistical tests, you need to know the null distribution of the test statistic in order to provide p-values. The UNIVARIATE documentation states that the procedure uses results from D’Agostino and Stephens (1986) to estimate the p-values for various combinations of known/unknown parameters. See the table "Availability of EDF Tests" in the doc.
You should use the THETA=, C=, and SIGMA= options to specify the threshold parameter (theta), the shape parameter (c), and the scale parameter (sigma). By default, THETA=0, which means that the default behavior is [theta known, C unknown, Sigma unknown], which is probably why you aren't getting a KS statistic. Try using THETA=EST to get an MLE estimate.
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