Consistent testing for stochastic dominance: a subsampling approach

Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Whang

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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)
JEL-codes: C13 C14 C15 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2002-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://eprints.lse.ac.uk/2207/ Open access version. (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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