Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Bruce Linton (), Esfandiar Maasoumi and Yoon-Jae Whang ()
Additional contact information
Esfandiar Maasoumi: Southern Methodist University
Authors registered in the RePEc Author Service: Esfandiar Maasoumi and Esfandiar Maasoumi ()

No 1356, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

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 autocorrelated over time. Importantly, the prospects may be the residuals from certain conditional models.

Keywords: Bootstrap; Prospect theory; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 C52 (search for similar items in EconPapers)
Date: 2002-02, Revised 2002-03
View list of references View citations in EconPapers

Downloads: (external link)
http://cowles.econ.yale.edu/P/cd/d13b/d1356.pdf (application/pdf)

Related works:
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2002)
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002)
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2004)
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1356

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation, Yale University
Address: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Contact information at EDIRC.
Series data maintained by Glena Ames ().