Testing for infinite order stochastic dominance with applications to finance, risk and income inequality
AbstractThe authors develop a test of infinite degree stochastic dominance based on the use of the empirical moment generating function. Two applications are considered. One uses the income data of Anderson (Econometrica, 1996) and derives results consistent with his. In the other application, the dominance between the US and UK stockmarkets is examined. Using data on the S&P 500 and the FTALL-Share, it is shown that the US displays infinite degree stochastic dominance over the UK.
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Bibliographic InfoArticle provided by Springer in its journal Journal of Economics and Finance.
Volume (Year): 32 (2008)
Issue (Month): 1 (January)
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Web page: http://link.springer.de/link/service/journals/120857/index.htm
Other versions of this item:
- Knight, J. & Satchell, S., 1999. "Testing for Infinite Order Stochastic Dominance with Applications to Finance, Risk and Income Inequality," Cambridge Working Papers in Economics 9911, Faculty of Economics, University of Cambridge.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
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