Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22246
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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 accommodategeneral dependence amongst the prospects which are to be ranked. Also, the prospectsmay 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 showthat the resulting tests are consistent and powerful against some N|1/2 local alternatives evenwhen computed with a data-based subsample size. We also propose some heuristic methodsfor selecting subsample size and demonstrate in simulations that they perform reasonably. Weshow 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 favorabledistribution does not have these properties and consequently will have less power againstsome alternatives.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aDiscussion papers of interdisciplinary research project 373 |x2003,31en_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-

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