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Citations for "Consistent Testing for Stochastic Dominance under General Sampling Schemes"

by Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae

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  1. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach," Working Papers in Economics 10/18, University of Canterbury, Department of Economics and Finance.
  2. Young-Hyun Cho & Oliver Linton & Yoon-Jae Whang, 2006. "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics 24520, London School of Economics and Political Science, LSE Library.
  3. repec:stn:sotoec:1311 is not listed on IDEAS
  4. Marianne P. Bitler & Jonah B. Gelbach & Hilary W. Hoynes, 2014. "Can Variation in Subgroups' Average Treatment Effects Explain Treatment Effect Heterogeneity? Evidence from a Social Experiment," NBER Working Papers 20142, National Bureau of Economic Research, Inc.
  5. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
  6. Clark, Ephraim & Kassimatis, Konstantinos, 2012. "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1144-1151.
  7. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
  8. Gordon Anderson & Oliver Linton & Yoon-Jae Whang, 2009. "Nonparametric estimation of a polarization measure," CeMMAP working papers CWP14/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  9. Giorgio Valente & Lucio Sarno, 2004. "Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts," Working Papers wp04-10, Warwick Business School, Finance Group.
  10. Agliardi, Elettra & Pinar, Mehmet & Stengos, Thanasis, 2014. "A sovereign risk index for the Eurozone based on stochastic dominance," Finance Research Letters, Elsevier, vol. 11(4), pages 375-384.
  11. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers 1620, Cowles Foundation for Research in Economics, Yale University.
  12. Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012. "Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China," KIER Working Papers 820, Kyoto University, Institute of Economic Research.
  13. 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.
  14. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
  15. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011. "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers 755, Kyoto University, Institute of Economic Research.
  16. Oliver Linton, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
  17. Hooi Hooi Lean & Michael McAleer, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Tinbergen Institute Discussion Papers 13-132/III, Tinbergen Institute.
  18. Zhongjun Qu & Jungmo Yoon, 2011. "Nonparametric Estimation and Inference on Conditional Quantile Processes," Boston University - Department of Economics - Working Papers Series WP2011-059, Boston University - Department of Economics.
  19. Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors’ Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
  20. Maasoumi, Esfandiar & Pitts, M. Melinda & Wu, Ke, 2014. "The gap between the conditional wage distributions of incumbents and the newly hired employees: decomposition and uniform ordering," Working Paper 2014-22, Federal Reserve Bank of Atlanta.
  21. Russell Davidson & Jean-Yves Duclos, 2006. "Testing For Restricted Stochastic Dominance," Departmental Working Papers 2006-20, McGill University, Department of Economics.
  22. repec:pen:papers:14-011 is not listed on IDEAS
  23. Maasoumi, Esfandiar & Almas Heshmati, 2003. "Evaluating Dominance Ranking of PSID Incomes by various Household Attributes," Departmental Working Papers 0509, Southern Methodist University, Department of Economics.
  24. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary," CeMMAP working papers CWP08/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  25. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle," Working Papers 1206, University of Guelph, Department of Economics and Finance.
  26. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
  27. Daniel L. Millimet & Esfandiar Maasoumi, 2005. "Robust inference concerning recent trends in US environmental quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 55-77.
  28. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
  29. Clark, Ephraim & Jokung, Octave & Kassimatis, Konstantinos, 2011. "Making inefficient market indices efficient," European Journal of Operational Research, Elsevier, vol. 209(1), pages 83-93, February.
  30. Thi Hong Van Hoang & Hooi Hooi Lean & Wing-Keung Wong, 2013. "Is Gold Good for Portfolio Diversification? A Stochastic Dominance Analysis of the Paris Stock Exchange," Working Papers 05-13, Association Française de Cliométrie (AFC).
  31. Lim, G.C. & Maasoumi, Esfandiar & Martin, Vance L., 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 173-189, August.
  32. Abhyankar, Abhay & Chen, Hsuan-Chi & Ho, Keng-Yu, 2006. "The long-run performance of initial public offerings: Stochastic dominance criteria," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 620-637, September.
  33. Vivek Dehejia & Marcel Voia, 2008. "International Income Comparisons and Location Choice: Methodology, Analysis, and Implications," Carleton Economic Papers 08-02, Carleton University, Department of Economics.
  34. Tukiainen, Janne, 2008. "Testing for common costs in the City of Helsinki bus transit auctions," International Journal of Industrial Organization, Elsevier, vol. 26(6), pages 1308-1322, November.
  35. Aaberge, Rolf & Havnes, Tarjei & Mogstad, Magne, 2014. "A Theory for Ranking Distribution Functions," Memorandum 20/2014, Oslo University, Department of Economics.
  36. Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
  37. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Documentos de Trabajo del ICAE 2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
  38. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2013. "Moment Conditions for Almost Stochastic Dominance," MPRA Paper 51725, University Library of Munich, Germany.
  39. Jesus Gonzalo & Jose Olmo, 2008. "Testing downside risk efficiency under market distress," Economics Working Papers we084321, Universidad Carlos III, Departamento de Economía.
  40. Brian McCaig & Adonis Yatchew, 2007. "International welfare comparisons and nonparametric testing of multivariate stochastic dominance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 951-969.
  41. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
  42. Henderson, Daniel J. & Maasoumi, Esfandiar, 2012. "Searching for Rehabilitation in Nonparametric Regression Models with Exogenous Treatment Assignment," IZA Discussion Papers 6874, Institute for the Study of Labor (IZA).
  43. Emin Dinlersoz & Glenn MacDonald, 2009. "The Industry Life-Cycle of the Size Distribution of Firms," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 648-667, October.
  44. Donald, Stephen G. & Hsu, Yu-Chin, 2014. "Estimation and inference for distribution functions and quantile functions in treatment effect models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 383-397.
  45. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 187-228.
  46. Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007. "Growth and convergence: A profile of distribution dynamics and mobility," Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
  47. Agliardi, Elettra & Agliardi, Rossella & Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2012. "A new country risk index for emerging markets: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 741-761.
  48. David M. Kaplan & Matt Goldman, 2013. "Evenly Sensitive KS-type Inference on Distributions," Working Papers 1319, Department of Economics, University of Missouri, revised 19 Jan 2015.
  49. Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong, 2014. "International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 45-66, May.
  50. Bai, Zhidong & Wang, Keyan & Wong, Wing-Keung, 2011. "The mean-variance ratio test--A complement to the coefficient of variation test and the Sharpe ratio test," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1078-1085, August.
  51. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2013. "Measuring human development: a stochastic dominance approach," Journal of Economic Growth, Springer, vol. 18(1), pages 69-108, March.
  52. Carlos Castro & Stijn Ferrari, 2011. "Measuring and testing for the systemically important financial institutions," DOCUMENTOS DE TRABAJO 008779, UNIVERSIDAD DEL ROSARIO.
  53. 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.
  54. Gordon Anderson & Teng Leo & Robert Muelhaupt, 2014. "Measuring Advances in Equality of Opportunity: The Changing Gender Gap in Educational Attainment in Canada in the Last Half Century," Social Indicators Research, Springer, vol. 119(1), pages 73-99, October.
  55. Gordon Anderson & Teng Wah Leo, 2014. "Ranking Alternative Non-Combinable Prospects: A Stochastic Dominance Based Route to the Second Best Solution," Working Papers tecipa-520, University of Toronto, Department of Economics.
  56. Thuysbaert, Bram & Zitikis, Ricardas, 2005. "Consistent Testing for Poverty Dominance," Working Paper Series RP2005/64, World Institute for Development Economic Research (UNU-WIDER).
  57. Heshmati, Almas & Rudolf, Robert, 2013. "Income vs. Consumption Inequality in South Korea: Evaluating Stochastic Dominance Rankings by Various Household Attributes," IZA Discussion Papers 7731, Institute for the Study of Labor (IZA).
  58. E. Agliardi & M. Pinar & T. Stengos, 2014. "Assessing temporal trends and industry contributions to air and water pollution using stochastic dominance," Working Papers wp981, Dipartimento Scienze Economiche, Universita' di Bologna.
  59. Maasoumi, Esfandiar & Eren, Ozkan, 2006. "The Information Basis of Matching with Propensity Score," Departmental Working Papers 0606, Southern Methodist University, Department of Economics.
  60. Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  61. Taylor, Nicholas, 2012. "Testing forecasting model versatility," Economics Letters, Elsevier, vol. 117(3), pages 803-806.
  62. Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
  63. Anderson, Gordon & Linton, Oliver & Whang, Yoon-Jae, 2012. "Nonparametric estimation and inference about the overlap of two distributions," Journal of Econometrics, Elsevier, vol. 171(1), pages 1-23.
  64. Taylor, Nick, 2014. "The rise and fall of technical trading rule success," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 286-302.
  65. Fong, Wai Mun, 2009. "Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 712-727, October.
  66. Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
  67. Qiao, Zhuo & Wong, Wing-Keung & Fung, Joseph K.W., 2013. "Stochastic dominance relationships between stock and stock index futures markets: International evidence," Economic Modelling, Elsevier, vol. 33(C), pages 552-559.
  68. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
  69. Esfandiar Maasoumi & Jeffrey S. Racine, 2013. "A Solution to Aggregation and an Application to Multidimensional "Well-being" Frontiers," Emory Economics 1306, Department of Economics, Emory University (Atlanta).
  70. Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne.
  71. Bai, Zhidong & Phoon, Kok Fai & Wang, Keyan & Wong, Wing-Keung, 2013. "The performance of commodity trading advisors: A mean-variance-ratio test approach," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 188-201.
  72. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  73. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  74. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
  75. Fong, Wai Mun, 2010. "A stochastic dominance analysis of yen carry trades," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1237-1246, June.
  76. Rothe, Christoph, 2010. "Nonparametric estimation of distributional policy effects," Journal of Econometrics, Elsevier, vol. 155(1), pages 56-70, March.
  77. Canepa, Alessandra & Ibnrubbian, Abdullah, 2014. "Does faith move stock markets? Evidence from Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 538-550.
  78. Barassi, Marco R. & Zhou, Ying, 2012. "The effect of corruption on FDI: A parametric and non-parametric analysis," European Journal of Political Economy, Elsevier, vol. 28(3), pages 302-312.
  79. Robert Elliott & Ying Zhou, 2013. "State-Owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach," Discussion Papers 13-03, Department of Economics, University of Birmingham.
  80. Clark, Ephraim & Kassimatis, Konstantinos, 2014. "Exploiting stochastic dominance to generate abnormal stock returns," Journal of Financial Markets, Elsevier, vol. 20(C), pages 20-38.
  81. Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  82. Emmanuel Olateju Oyatoye & Waheed Oladimeji Arilesere, 2012. "A non-linear programming model for insurance company investment portfolio management in Nigeria," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 4(1), pages 83-100.
  83. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
  84. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
  85. Olmo, José & Sanso-Navarro, Marcos, 2012. "Forecasting the performance of hedge fund styles," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2351-2365.
  86. Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
  87. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  88. Jason Allen & Robert Clark & Jean-François Houde, 2013. "The Effect of Mergers in Search Market: Evidence from the Canadian Mortgage Industry," NBER Working Papers 19126, National Bureau of Economic Research, Inc.
  89. Raúl Ibarra-Ramírez, 2011. "Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach," Working Papers 2011-03, Banco de México.
  90. Guo, Xu & Post, Thierry & Wong, Wing-Keung & Zhu, Lixing, 2014. "Moment conditions for Almost Stochastic Dominance," Economics Letters, Elsevier, vol. 124(2), pages 163-167.
  91. Marcel Voia, 2008. "A Distributional Analysis Of Treatment Effects In Randomized Experiments," Economics Bulletin, AccessEcon, vol. 3(36), pages 1-9.
  92. Tony Lancaster, 2006. "A note on bootstraps and robustness," CeMMAP working papers CWP04/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  93. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 1(1), pages 1-40, December.
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