Consistent testing for stochastic dominance: a subsampling approach
Oliver Linton,
Esfandiar Maasoumi and
Yoon-Jae Wang
Additional contact information
Yoon-Jae Wang: Institute for Fiscal Studies
No CWP03/02, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
Abstract:
We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially dependent and, for the rst 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 tests are consistent and powerful against some N1=2 local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably.
Pages: 42 pp.
Date: 2002-12-31
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp0203.pdf (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) 
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:ifs:cemmap:03/02
Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Access Statistics for this paper
More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().