A Kolmogorov-type test for second-order stochastic dominance

Friedrich Schmid and Mark Trede ()

Statistics & Probability Letters, 1998, vol. 37, issue 2, 183-193

Abstract: A nonparametric test for second-order stochastic dominance is introduced in the framework of the one sample problem. It is based on a supremum statistic which is suitable for second-order problems. Its asymptotic distribution is identified and quantiles of the finite sample and asymptotic distributions are derived by simulations. Its power is compared to those of a test suggested by Deshpande and Singh (1985) which is based on an integral statistic. Finally, it is shown that the new test can also be used for testing first order stochastic dominance. A family of alternatives is given where the second-order test has uniformly higher power than the usual first-order Kolmogorov test.

Keywords: Second-order; stochastic; dominance; One-sample; testing; problem; Asymptotic; distribution; Power; of; tests; Functional; of; Brownian; Bridge (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (10)

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