Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

47 Pages Posted: 13 May 2009

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Kyungchul Song

University of British Columbia (UBC) - Department of Economics

Yoon-Jae Whang

Seoul National University - School of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: February 2008

Abstract

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly over the boundary points of the null hypothesis and are therefore valid over the whole null hypothesis. We also allow the prospects to be indexed by in…nite as well as …nite dimensional unknown parameters, so that the variables may be residuals from nonparametric and semiparametric models. Our simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap.

JEL Classification: C12, C14, C52

Suggested Citation

Linton, Oliver B. and Song, Kyungchul and Whang, Yoon-Jae, Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary (February 2008). LSE STICERD Research Paper No. EM527. Available at SSRN: https://ssrn.com/abstract=1401777

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Kyungchul Song

University of British Columbia (UBC) - Department of Economics

997-1873 East Mall
Vancouver, BC V6T 1Z1
Canada

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
37
Abstract Views
463
PlumX Metrics