Linton, Oliver, Maasoumi, Esfandiar and Whang, Yoon-Jae (2002) Consistent testing for stochastic dominance : a subsampling approach. Econometrics; EM/2002/433 (EM/02/433). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
|
PDF
Download (761kB) | Preview |
Abstract
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2002 the authors |
| Divisions: | Financial Markets Group Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 19:46 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2207 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics