EconPapers    
Economics at your fingertips  
 

Consistent Testing for Stochastic Dominance: A Subsampling Approach

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

FMG Discussion Papers from Financial Markets Group

Abstract: We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be 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 andwe show that the resulting tests are consistent and powerful against some N -1/2 local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentering the test statistic and using full sample bootstrap methods. We compare the two methods in theory and in practice.

Date: 2004-09
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmgdps/dp508.pdf (application/pdf)

Related works:
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
Working Paper: Consistent testing for stochastic dominance: a subsampling approach (2002) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp508

Access Statistics for this paper

More papers in FMG Discussion Papers from Financial Markets Group
Bibliographic data for series maintained by The FMG Administration ().

 
Page updated 2019-09-22
Handle: RePEc:fmg:fmgdps:dp508