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dc.contributor.authorLinton, Oliveren_US
dc.contributor.authorMaasoumi, Esfandiaren_US
dc.contributor.authorWhang, Yoon-Jaeen_US
dc.date.accessioned2009-01-29T14:55:05Z-
dc.date.available2009-01-29T14:55:05Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050333-
dc.identifier.urihttp://hdl.handle.net/10419/22246-
dc.description.abstractWe 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 /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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,31en_US
dc.subject.ddc330en_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwPräferenztheorieen_US
dc.subject.stwBootstrap-Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleConsistent Testing for Stochastic Dominance under General Sampling Schemesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379149206en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200331-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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