TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE

Edna Schechtman, Amit Shelef, Shlomo Yitzhaki and Ričardas Zitikis

Econometric Theory, 2008, vol. 24, issue 4, 1044-1062

Abstract: We consider statistical tests concerning various relationships between two absolute concentration curves (ACCs). In particular, we consider tests for determining if the two ACCs coincide, if one is above another in a specified order, or if they do not intersect without specifying which one is above/below the other one. These problems are of interest in the context of marginal conditional stochastic dominance (MCSD). Constructing statistical tests for the MCSD relies on ideas and also on their modifications developed by Linton, Maasoumi, and Whang (2005, Review of Economic Studies 72, 735–765) in the context of stochastic dominance for distribution functions. Our theoretical considerations are supplemented with a simulation study.

Date: 2008
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