Arbeitspapier

Consistent testing for stochastic dominance: A subsampling approach

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 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 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.

Sprache
Englisch

Erschienen in
Series: cemmap working paper ; No. CWP03/02

Klassifikation
Wirtschaft
Thema
Präferenztheorie
Theorie
Bootstrap-Verfahren

Ereignis
Geistige Schöpfung
(wer)
Linton, Oliver Bruce
Maasoumi, Esfandiar
Whang, Yoon-Jae
Ereignis
Veröffentlichung
(wer)
Centre for Microdata Methods and Practice (cemmap)
(wo)
London
(wann)
2003

DOI
doi:10.1920/wp.cem.2002.0302
Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Linton, Oliver Bruce
  • Maasoumi, Esfandiar
  • Whang, Yoon-Jae
  • Centre for Microdata Methods and Practice (cemmap)

Entstanden

  • 2003

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