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Consistent Tests for Stochastic Dominance

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  • Garry F. Barrett

    ()
    (University of New South Wales, Sydney, Australia)

  • Stephen G. Donald

    ()
    (University of Texas at Austin, U.S.A.)

Abstract

Methods are proposed for testing stochastic dominance of any pre--specified order, with primary interest in the distributions of income. We consider consistent tests, that are similar to Kolmogorov--Smirnov tests, of the complete set of restrictions that relate to the various forms of stochastic dominance. For such tests, in the case of tests for stochastic dominance beyond first order, we propose and justify a variety of approaches to inference based on simulation and the bootstrap. We compare these approaches to one another and to alternative approaches based on multiple comparisons in the context of a Monte Carlo experiment and an empirical example. Copyright The Econometric Society 2003.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 71 (2003)
Issue (Month): 1 (January)
Pages: 71-104

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Handle: RePEc:ecm:emetrp:v:71:y:2003:i:1:p:71-104

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