Consistent Testing for Stochastic Dominance: A Subsampling Approach

50 Pages Posted: 21 Jul 2008

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Esfandiar Maasoumi

Emory University

Yoon-Jae Whang

Seoul National University - School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: March 2002

Abstract

We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally 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 conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.

JEL Classification: C13, C14

Suggested Citation

Linton, Oliver B. and Maasoumi, Esfandiar Essie and Whang, Yoon-Jae, Consistent Testing for Stochastic Dominance: A Subsampling Approach (March 2002). LSE STICERD Research Paper No. EM433, Available at SSRN: https://ssrn.com/abstract=1162608

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Esfandiar Essie Maasoumi

Emory University ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States

HOME PAGE: http://economics.emory.edu/home/people/faculty/Maasoumiesfandiar_Home.html

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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