Arbeitspapier
Bootstrap tests of stochastic dominance with asymptotic similarity in the boundary
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly over the boundary points of the null hypothesis and are therefore valid over the whole null hypothesis. We also allow the prospects to be indexed by infinite as well as finite dimensional unknown parameters, so that the variables may be residuals from nonparametric and semiparametric models. Our simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP08/08
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Model Evaluation, Validation, and Selection
- Thema
-
Set estimation , Size of test , Unbiasedness , Similarity , Bootstrap , Subsampling
Bootstrap-Verfahren
Stochastischer Prozess
Nichtparametrisches Verfahren
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Linton, Oliver
Song, Kyungchul
Whang, Yoon-Jae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2008
- DOI
-
doi:10.1920/wp.cem.2008.0808
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Linton, Oliver
- Song, Kyungchul
- Whang, Yoon-Jae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2008
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