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Consistent Testing for Stochastic Dominance: A Subsampling Approach

Oliver Linton (), Esfandiar Maasoumi () and Yoon-Jae Whang ()

FMG Discussion Papers from Financial Markets Group

Abstract: We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be auto-correlated over time. Importantly, the prospects may be the residuals from certain conditional models.

Date: 2002-02
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Related works:
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2004) Downloads
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2004) Downloads
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002) Downloads
Working Paper: Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002) Downloads
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2002) Downloads
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2002) Downloads
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2002) Downloads
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