Consistent Testing for Stochastic Dominance under General Sampling Schemes
نویسندگان
چکیده
منابع مشابه
Consistent Testing for Stochastic Dominance under General Sampling Schemes∗
We propose a procedure for estimating the critical values of the extended KolmogorovSmirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain condit...
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Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two distributions. These tests have a null hypothesis of nondominance, with the advantage that, if this null is rejected, then all that is left is dominance. This also leads us to define and focus on restricted stochastic dominance, the only empirically useful form of dominance rel...
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This article proposes bootstrap-based stochastic dominance tests for nonparametric conditional distributions and their moments. We exploit the fact that a conditional distribution dominates the other if and only if the di¤erence between the marginal joint distributions is monotonic in the explanatory variable for each value of the dependent variable. The proposed test statistic compares restric...
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Comparing uncertain prospects is one of fundamental interests of the economic decision theory. Two methods are frequently used for modeling the choice among uncertain outcomes: stochastic dominance and mean-risk approaches. The former is based on the axiomatic model of risk-averse preferences but does not provide a convenient computational recipe. It is, in fact, a multiple criteria model with ...
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ژورنال
عنوان ژورنال: Review of Economic Studies
سال: 2005
ISSN: 0034-6527,1467-937X
DOI: 10.1111/j.1467-937x.2005.00350.x