A jackknife empirical likelihood ratio test for second order stochastic dominance

Smaranika Bera, Ruhul Ali Khan and Murari Mitra

Mathematics and Computers in Simulation (MATCOM), 2026, vol. 247, issue C, 1-15

Abstract: Comparison of random economic prospects for risk averters can be viewed as comparing second order stochastic dominance (SSD). We consider a two-sample nonparametric testing problem involving SSD and develop a large sample test based on a U-statistic approach. To overcome the computational difficulties arising out of the application of usual U-statistic theory, we develop methodologies based on jackknife empirical likelihood (JEL), adjusted jackknife empirical likelihood (AdJEL) and balanced adjusted jackknife empirical likelihood (BaJEL) for our problem. To evaluate and compare the effectiveness of the relevant tests, a simulation study has been carried out. The test procedure is then applied to real-data sets for illustration.

Keywords: Second-order stochastic dominance; Nonparametric methods; U-statistics; Jackknife empirical likelihood; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:247:y:2026:i:c:p:1-15

DOI: 10.1016/j.matcom.2026.02.025

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