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Consistent Testing for Stochastic Dominance: A Subsampling Approach Author info | Abstract | Publisher info | Download info | Related research | Statistics Oliver Linton (London School of Economics)
Esfandiar Maasoumi (Southern Methodist University)
Whang, Yoon-Jae (Ewhra University)
Additional information is available for the following
registered author(s):
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be autocorrelated over time. Importantly, the prospects may be the residuals from certain conditional models.
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Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number
1356.
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Length: 51 pages
Date of creation: Feb 2002Date of revision:
Mar 2002Handle: RePEc:cwl:cwldpp:1356Contact details of provider: Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA Phone: (203) 432-3702 Fax: (203) 432-6167 Web page: http://cowles.econ.yale.edu/ More information through EDIRC
Order Information: Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
For technical questions regarding this item, or to correct its listing, contact: (Glena Ames).
Keywords: Bootstrap ; Prospect theory ; Stochastic dominance ; Other versions of this item:
Paper Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Wang, 2002.
"Consistent testing for stochastic dominance: a subsampling approach ,"
CeMMAP working papers
CWP03/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
[Downloadable!] Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002.
"Consistent Testing for Stochastic Dominance: A Subsampling Approach ,"
FMG Discussion Papers
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"Consistent Testing for Stochastic Dominance: A Subsampling Approach ,"
FMG Discussion Papers
dp508, Financial Markets Group.
[Downloadable!] (restricted) Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002.
"Consistent Testing for Stochastic Dominance: A Subsampling Approach ,"
STICERD - Econometrics Paper Series
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[Downloadable!] Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
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Y.K. Tse & Xibin Zhang, 2003.
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Monash Econometrics and Business Statistics Working Papers
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