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Testing for Second-Order Stochastic Dominance of Two Distributions
Abstract
A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if , for all x. Second-order stochastic dominance plays an important role in economics, finance, and accounting. Here a statistical test has been constructed to test , for some x ∈ [a, b], against the hypothesis , for all x ∈ [a, b], where a and b are any two real numbers. The test has been shown to be consistent and has an upper bound α on the asymptotic size. The test is expected to have usefulness for comparison of random prospects for risk averters.
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Citations
Cited by
Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
Davidson, R., & Duclos, J.-Y. (2000) · Econometrica · doi:10.1111/1468-0262.00167 · Cited by 870
Consistent Testing for Stochastic Dominance under General Sampling Schemes
Linton, O., Maasoumi, E., & Whang, Y.-J. (2005) · Review of Economic Studies · doi:10.1111/j.1467-937x.2005.00350.x · Cited by 512
Selling to Overconfident Consumers
Grubb, M. D. (2009) · American Economic Review · doi:10.1257/aer.99.5.1770 · Cited by 316
Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach
Al-Khazali, O., Lean, H. H., & Samet, A. (2014) · Pacific-Basin Finance Journal · doi:10.1016/j.pacfin.2013.09.003 · Cited by 295
Metadata
- Authors
- Kaur, A., Prakasa Rao, B. L. S., & Singh, H.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1994-12
- Volume
- 10
- Issue
- 5
- Pages
- 849-866
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2010168683
- Cited by
- 179
- References
- 0
- FWCI
- 0.00
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Testing for Second-Order Stochastic Dominance of Two Distributions. https://app.cochat.ai/papers/10.1017/s0266466600008884
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- Kaur, A., Prakasa Rao, B. L. S., & Singh, H. (1994). Testing for Second-Order Stochastic Dominance of Two Distributions. Econometric Theory. https://doi.org/10.1017/s0266466600008884
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