Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance: a subsampling approach. Financial Markets Group Discussion Papers (407). Financial Markets Group, The London School of Economics and Political Science, London, UK.
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Abstract
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: | http://fmg.lse.ac.uk |
| Additional Information: | © 2002 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C0 - General > C00 - General |
| Date Deposited: | 20 Aug 2009 08:49 |
| Last Modified: | 01 Dec 2022 00:04 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24927 |
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