Conditional stochastic dominance testing
AbstractThis article proposes bootstrap-based stochastic dominance tests for nonparametric conditional distributions and their moments. We exploit the fact that a conditional distribution dominates the other if and only if the difference between the marginal joint distributions is monotonic in the explanatory variable for each value of the dependent variable. The proposed test statistic compares restricted and unrestricted estimators of the difference between the joint distributions, and can be implemented under minimal smoothness requirements on the underlying nonparametric curves and without resorting to smooth estimation. The finite sample properties of the proposed tests are examined by means of a Monte Carlo study. We report an application to studying the impact on post-intervention earnings of the National Supported Work Demonstration, a randomized labor training program carried out in the 1970s.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Economía in its series Economics Working Papers with number we1138.
Date of creation: Dec 2011
Date of revision:
Nonparametric testing; Conditional stochastic dominance; Conditional inequality restrictions; Least concave majorant; Treatment effects;
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruno Rémillard & Olivier Scaillet, 2006.
"Testing For Equality Between Two Copulas,"
Swiss Finance Institute Research Paper Series
07-24, Swiss Finance Institute.
- Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
- Juan Carlos Escanciano, 2005.
"A Consistent Diagnostic Test for Regression Models Using Projections,"
Faculty Working Papers
09/05, School of Economics and Business Administration, University of Navarra.
- Escanciano, J. Carlos, 2006. "A Consistent Diagnostic Test For Regression Models Using Projections," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1030-1051, December.
- Olivier Scaillet & Nikolas Topaloglou, 2005.
"Testing for Stochastic Dominance Efficiency,"
FAME Research Paper Series
rp154, International Center for Financial Asset Management and Engineering.
- repec:cup:cbooks:9780521496032 is not listed on IDEAS
- Yingcun Xia & Howell Tong & W. K. Li & Li-Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410.
- Khan, Shakeeb & Tamer, Elie, 2009. "Inference on endogenously censored regression models using conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 152(2), pages 104-119, October.
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010.
"An improved bootstrap test of stochastic dominance,"
Journal of Econometrics,
Elsevier, vol. 154(2), pages 186-202, February.
- Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An improved bootstrap test of stochastic dominance," Economics Working Papers we094827, Universidad Carlos III, Departamento de Economía.
- 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.
- Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
- Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, vol. 41(2), pages 205-235, June.
- Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
- Ferreira, E. & Stute, W., 2004. "Testing for Differences Between Conditional Means in a Time Series Context," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 169-174, January.
- Jose Olmo & Jesus Gonzalo, 2012.
"Conditional stochastic dominance tests in dynamic settings,"
Economics Working Papers
we1205, Universidad Carlos III, Departamento de Economía.
- Jesús Gonzalo & José Olmo, 2010. "Conditional stochastic dominance tests in dynamic settings," Economics Working Papers we1029, Universidad Carlos III, Departamento de Economía.
- Gonzalo, Jesus & Olmo, Jose, 2013. "Conditional stochastic dominance tests in dynamic settings," Discussion Paper Series In Economics And Econometrics 1311, Economics Division, School of Social Sciences, University of Southampton.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.