IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v10y1994i05p849-866_00.html
   My bibliography  Save this article

Testing for Second-Order Stochastic Dominance of Two Distributions

Author

Listed:
  • Kaur, Amarjot
  • Prakasa Rao, B.L.S.
  • Singh, Harshinder

Abstract

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.

Suggested Citation

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

    Download full text from publisher

    File URL: http://journals.cambridge.org/abstract_S0266466600008884
    File Function: link to article abstract page
    Download Restriction: no

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:10:y:1994:i:05:p:849-866_00. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: http://journals.cambridge.org/jid_ECT .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.