Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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.

Keywords: Prospect theory; stochastic dominance; stochastic equicontinuity; subsampling. (search for similar items in EconPapers)
Date: 2002-03
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Citations: View citations in EconPapers (4)

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https://sticerd.lse.ac.uk/dps/em/em433.pdf (application/pdf)

Related works:
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2004)
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2003)
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 (2002)
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 (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:433

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