Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/79395 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
cemmap working paper No. CWP08/08
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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.
Schlagwörter: 
Set estimation , Size of test , Unbiasedness , Similarity , Bootstrap , Subsampling
JEL: 
C12
C14
C52
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
514.78 kB





Publikationen in EconStor sind urheberrechtlich geschützt.