Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79395
Authors: 
Linton, Oliver
Song, Kyungchul
Whang, Yoon-Jae
Year of Publication: 
2008
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP08/08
Abstract: 
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly over the boundary points of the null hypothesis and are therefore valid over the whole null hypothesis. We also allow the prospects to be indexed by infinite as well as finite dimensional unknown parameters, so that the variables may be residuals from nonparametric and semiparametric models. Our simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap.
Subjects: 
Set estimation , Size of test , Unbiasedness , Similarity , Bootstrap , Subsampling
JEL: 
C12
C14
C52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
514.78 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.