diff --git a/sklearn/tests/test_common.py b/sklearn/tests/test_common.py
index 5a28b31b33c2f..f4dd11755642c 100644
--- a/sklearn/tests/test_common.py
+++ b/sklearn/tests/test_common.py
@@ -11,14 +11,23 @@
 import warnings
 import sys
 import pkgutil
+import numpy as np
 
+from sklearn import datasets
+from sklearn.base import is_classifier, is_regressor
+from sklearn.cross_validation import train_test_split
 from sklearn.externals.six import PY3
+from sklearn.externals.six.moves import zip
+from sklearn.externals.funcsigs import signature
+from sklearn.utils import check_random_state
 from sklearn.utils.testing import assert_false, clean_warning_registry
 from sklearn.utils.testing import all_estimators
 from sklearn.utils.testing import assert_greater
 from sklearn.utils.testing import assert_in
 from sklearn.utils.testing import ignore_warnings
 
+from numpy.testing import assert_array_almost_equal
+
 import sklearn
 from sklearn.cluster.bicluster import BiclusterMixin
 from sklearn.decomposition import ProjectedGradientNMF
@@ -219,3 +228,64 @@ def test_get_params_invariance():
                     yield check_get_params_invariance, name, Estimator
             else:
                 yield check_get_params_invariance, name, Estimator
+            yield check_transformer_n_iter, name, estimator
+
+
+def test_sample_weight_consistency(random_state=42):
+    estimators = all_estimators()
+
+    n_samples, n_features = 20, 5
+    rng = check_random_state(random_state)
+
+    sample_weight = rng.randint(1, 4, (n_samples,))
+
+    X_clf, y_clf = datasets.make_classification(
+        n_samples=n_samples, n_features=n_features,
+        random_state=random_state)
+    X_reg, y_reg = datasets.make_regression(
+        n_samples=n_samples, n_features=n_features,
+        n_informative=2, random_state=random_state)
+
+    def aug(data, sample_weight):
+        # raise all samples to multiplicity of the corresponding sampleweight
+        aug_data = []
+        for samples, weight in zip(zip(*data), sample_weight):
+            for _ in range(weight):
+                aug_data.append(samples)
+        aug_data = map(np.array, zip(*aug_data))
+        return aug_data
+
+    train, test = train_test_split(range(n_samples))
+
+    for name, Estimator in estimators:
+        if 'sample_weight' not in signature(Estimator.fit).parameters.keys():
+            continue
+        if is_classifier(Estimator):
+            X, y = X_clf, y_clf
+        elif is_regressor(Estimator):
+            X, y = X_reg, y_reg
+        else:
+            print ("%s is neither classifier nor regressor" % name)
+            continue
+
+        try:
+            estimator_sw = Estimator().fit(X[train], y[train],
+                                       sample_weight=sample_weight[train])
+            X_aug_train, y_aug_train = aug((X[train], y[train]),
+                                       sample_weight[train])
+            estimator_aug = Estimator().fit(X_aug_train, y_aug_train)
+        except ValueError:
+            # LogisticRegression liblinear (standard solver)
+            # does not support sample weights, but the argument is there
+            continue
+
+        # if estimator has `coef_` attribute, then compare the two
+        if hasattr(estimator_sw, 'coef_'):
+            yield (assert_array_almost_equal,
+                   estimator_sw.coef_, estimator_aug.coef_)
+
+        pred_sw = estimator_sw.predict(X[test])
+        pred_aug = estimator_aug.predict(X[test])
+
+        yield assert_array_almost_equal, pred_sw, pred_aug
+