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Testing for bivariate stochastic dominance using inequality restrictions

  • Stengos, Thanasis
  • Thompson, Brennan S.

We propose a test of bivariate stochastic dominance within a generalized framework for testing inequality restrictions, utilizing the covariance structure of the estimates of the joint distribution functions. Monte Carlo simulations and an empirical example assess its usefulness.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176511005064
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 1 ()
Pages: 60-62

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:1:p:60-62
DOI: 10.1016/j.econlet.2011.11.041
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  7. Russell Davidson & Jean-Yves Duclos, 2009. "Testing for restricted stochastic dominance," Working Papers halshs-00443560, HAL.
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  15. Horvath, Lajos & Kokoszka, Piotr & Zitikis, Ricardas, 2006. "Testing for stochastic dominance using the weighted McFadden-type statistic," Journal of Econometrics, Elsevier, vol. 133(1), pages 191-205, July.
  16. Duclos, Jean-Yves & Sahn, David & Younger, Stephen D., 2001. "Robust Multidimensional Poverty Comparisons," Cahiers de recherche 0115, Université Laval - Département d'économique.
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