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Consistent testing for stochastic dominance: a subsampling approach

Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance: a subsampling approach. Discussion paper (407). Financial Markets Group, London School of Economics and Political Science, London, UK.

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We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be auto-correlated over time. Importantly, the prospects may be the residuals from certain conditional models.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2002 The Authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Collections > LSE Financial Markets Group (FMG) Working Papers
Date Deposited: 20 Aug 2009 08:49
Last Modified: 06 Jan 2021 00:35

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