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Testing for Second-Order Stochastic Dominance of Two Distributions

  • Kaur, Amarjot
  • Prakasa Rao, B.L.S.
  • Singh, Harshinder
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    A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if null, for all x . Second-order stochastic dominance plays an important role in economics, finance, and accounting. Here a statistical test has been constructed to test null, for some x null [ a, b ], against the hypothesis null, for all x null [ a, b ], where a and b are any two real numbers. The test has been shown to be consistent and has an upper bound α on the asymptotic size. The test is expected to have usefulness for comparison of random prospects for risk averters.

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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 10 (1994)
    Issue (Month): 05 (December)
    Pages: 849-866

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    Handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00
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