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Testing for stochastic dominance using the weighted McFadden-type statistic

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  • Horvath, Lajos
  • Kokoszka, Piotr
  • Zitikis, Ricardas

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 133 (2006)
Issue (Month): 1 (July)
Pages: 191-205

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Handle: RePEc:eee:econom:v:133:y:2006:i:1:p:191-205

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Kaur, Amarjot & Prakasa Rao, B.L.S. & Singh, Harshinder, 1994. "Testing for Second-Order Stochastic Dominance of Two Distributions," Econometric Theory, Cambridge University Press, vol. 10(05), pages 849-866, December.
  2. Schmid, Friedrich & Trede, Mark, 1998. "A Kolmogorov-type test for second-order stochastic dominance," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 183-193, February.
  3. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-93, September.
  4. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
  5. Davidson, R. & Duclos, J.-Y., 1998. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," G.R.E.Q.A.M. 98a14, Universite Aix-Marseille III.
  6. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
  7. Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," SFB 373 Discussion Papers 2003,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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Cited by:
  1. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers 1713, Cowles Foundation for Research in Economics, Yale University.
  2. Thuysbaert, Bram & Zitikis, Ricardas, 2005. "Consistent Testing for Poverty Dominance," Working Paper Series RP2005/64, World Institute for Development Economic Research (UNU-WIDER).
  3. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," LSE Research Online Documents on Economics 25092, London School of Economics and Political Science, LSE Library.
  4. Vivek Dehejia & Marcel Voia, 2008. "International Income Comparisons and Location Choice: Methodology, Analysis, and Implications," Carleton Economic Papers 08-02, Carleton University, Department of Economics.
  5. Thanasis Stengos & Brennan S. Thompson, 2011. "Testing for Bivariate Stochastic Dominance Using Inequality Restrictions," Working Paper Series 32_11, The Rimini Centre for Economic Analysis.
  6. Isabel Abinzano & Luis Muga & Rafael Santamaria, 2010. "Do Managerial Skills Vary Across Fund Managers? Results Using European Mutual Funds," Journal of Financial Services Research, Springer, vol. 38(1), pages 41-67, August.
  7. Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Sokbae Lee & Yoon-Jae Whang, 2009. "Nonparametric Tests of Conditional Treatment Effects," Cowles Foundation Discussion Papers 1740, Cowles Foundation for Research in Economics, Yale University.
  9. Bruce L. Jones & Ricardas Zitikis, 2005. "Testing for the order of risk measures: an application of L-statistics in actuarial science," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 193-211.
  10. Christopher J. Bennett & Ričardas Zitikis, 2013. "Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 1-15, January.

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