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Testing for Bivariate Stochastic Dominance Using Inequality Restrictions

Thanasis Stengos and Brennan Thompson ()

No 1107, Working Papers from University of Guelph, Department of Economics and Finance

Abstract: In this paper, we propose of a test of bivariate stochastic dominance using a generalized framework for testing inequality constraints. Unlike existing tests, this test has the advantage of utilizing the covariance structure of the estimates of the joint distribution functions. The performance of our proposed test is examined by way of a Monte Carlo experiment. We also consider an empirical example which utilizes household survey data on income and health status.

Keywords: Stochastic dominance; inequality restrictions; multidimensional welfare (search for similar items in EconPapers)
JEL-codes: C12 C15 D63 (search for similar items in EconPapers)
Pages: 16
Date: 2011
New Economics Papers: this item is included in nep-ecm
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Journal Article: Testing for bivariate stochastic dominance using inequality restrictions (2012) Downloads
Working Paper: Testing for Bivariate Stochastic Dominance Using Inequality Restrictions (2011) Downloads
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