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Consistent testing for stochastic dominance under general sampling
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DOI：10.1111/j.1467-937X.2005.00350.x.png)
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摘要
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We propose a procedure for estimating the critical values of the extended Kolmogorov-Smimov 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 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. We describe an alternative method for obtaining cirtical values based on recentring the test statistic and using full-sample bootstrap methods. We compare the two methods in theory and in practice.
Keyword:
PROSPECT-THEORY
INCOME DISTRIBUTIONS
BOOTSTRAP
INFERENCE
INEQUALITY
VALUES
MODEL
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6.4
论文数:
2.5K
被引数:
2.1W
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