English, Article, Journal or magazine article edition: Consistent Testing for Stochastic Dominance: A Subsampling Approach Yoon-Jae Whang; Oliver Linton; Esfandiar Maasoumi; ...

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Consistent Testing for Stochastic Dominance: A Subsampling Approach
Author
  • Yoon-Jae Whang
  • Oliver Linton
  • Esfandiar Maasoumi
  • Whang, Yoon-Jae
Physical Description
  • preprint
Notes
  • 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.
  • Prospect theory, stochastic dominance, stochastic equicontinuity, subsampling.
  • RePEc:cep:stiecm:/​2002/​433
  • We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially dependent and, for the …rst 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 tests are consistent and powerful against some N¡1=​2 local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably.
  • RePEc:ifs:cemmap:03/​02
  • We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov 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 conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling andwe show that the resulting tests are consistent and powerful against some N -1/​2 local alternatives.  We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentering the test statistic and using full sample bootstrap methods. We compare the two methods in theory and in practice.  
  • RePEc:fmg:fmgdps:dp508
  • We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be auto-correlated over time. Importantly, the prospects may be the residuals from certain conditional models.
  • RePEc:fmg:fmgdps:dp407
  • Bootstrap, Prospect theory, Stochastic dominance
  • RePEc:cwl:cwldpp:1356
Language
  • English
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