Consistent Tests for Almost Stochastic Dominance
11 Pages Posted: 10 Apr 2015 Last revised: 11 Apr 2015
Date Written: April 11, 2015
Abstract
Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now. In this paper, we aim to develop consistent test statistics for the first three order of ASD. Two numerical approaches are proposed to determine the critical values.
Keywords: stochastic dominance; almost stochastic dominance; risk aversion, consistent test statistics
JEL Classification: C0, C12, D81, G11
Suggested Citation: Suggested Citation