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dc.contributor.authorLinton, Oliveren
dc.contributor.authorMaasoumi, Esfandiaren
dc.contributor.authorWhang, Yoon-Jaeen
dc.date.accessioned2009-01-29T14:55:05Z-
dc.date.available2009-01-29T14:55:05Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050333en
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|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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,31en
dc.subject.ddc330en
dc.subject.stwStochastischer Prozessen
dc.subject.stwStatistischer Testen
dc.subject.stwPräferenztheorieen
dc.subject.stwBootstrap-Verfahrenen
dc.subject.stwTheorieen
dc.titleConsistent Testing for Stochastic Dominance under General Sampling Schemes-
dc.typeWorking Paperen
dc.identifier.ppn379149206en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200331en

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