Testing for restricted stochastic dominance: some further results - Groupement de Recherche en Économie Quantitative d'Aix-Marseille Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2009

Testing for restricted stochastic dominance: some further results

Résumé

Extensions are presented to the results of Davidson and Duclos (2007), whereby the null hypothesis of restricted stochastic non dominance can be tested by both asymptotic and bootstrap tests, the latter having considerably better properties as regards both size and power. In this paper, the methodology is extended to tests of higherorder stochastic dominance. It is seen that, unlike the first-order case, a numerical nonlinear optimisation problem has to be solved in order to construct the bootstrap DGP. Conditions are provided for a solution to exist for this problem, and efficient numerical algorithms are laid out. The empirically important case in which the samples to be compared are correlated is also treated, both for first-order and for higher-order dominance. For all of these extensions, the bootstrap algorithm is presented. Simulation experiments show that the bootstrap tests perform considerably better than asymptotic tests, and yield reliable inference in moderately sized samples.
Fichier principal
Vignette du fichier
DT2009-38.pdf (314.55 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

halshs-00443556 , version 1 (30-12-2009)

Identifiants

  • HAL Id : halshs-00443556 , version 1

Citer

Russell Davidson. Testing for restricted stochastic dominance: some further results. 2009. ⟨halshs-00443556⟩
185 Consultations
303 Téléchargements

Partager

Gmail Facebook X LinkedIn More