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Testing for Second-Order Stochastic Dominance of Two Distributions

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Author Info
Kaur, Amarjot
Prakasa Rao, B.L.S.
Singh, Harshinder
Abstract

A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if , for all x. Second-order stochastic dominance plays an important role in economics, finance, and accounting. Here a statistical test has been constructed to test , for some x [a, b], against the hypothesis , for all x [a, b], where a and b are any two real numbers. The test has been shown to be consistent and has an upper bound on the asymptotic size. The test is expected to have usefulness for comparison of random prospects for risk averters.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 05 (December)
Pages: 849-866
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00

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