@techreport{Linton2003Consistent,
abstract = {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 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 subsampling; we show
that the resulting tests are consistent and powerful against some N|1/2 local alternatives even
when computed with a data-based subsample size. We also propose some heuristic methods
for selecting subsample size and demonstrate in simulations that they perform reasonably. We
show that our test is asymptotically similar on the entire boundary of the null hypothesis, and is unbiased. In comparison, any method based on resampling or simulating from the least favorable
distribution does not have these properties and consequently will have less power against
some alternatives.},
author = {Oliver Linton and Esfandiar Maasoumi and Yoon-Jae Whang},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; Stochastischer Prozess; Statistischer Test; Pr\"{a}ferenztheorie; Bootstrap-Verfahren; Theorie},
language = {eng},
note = {urn:nbn:de:kobv:11-10050333},
number = {2003,31},
title = {Consistent Testing for Stochastic Dominance under General Sampling Schemes},
type = {Discussion papers of interdisciplinary research project 373},
url = {http://hdl.handle.net/10419/22246},
year = {2003}
}
