The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
Consistent Testing for Stochastic Dominance under General Sampling Schemes
Open accessAbstract
We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order 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 based on subsampling and we show that the resulting tests are consistent and powerful against some N−1/2 local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentring the test statistic and using full-sample bootstrap methods. We compare the two methods in theory and in practice.
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Cited by
R&D and Productivity: Estimating Endogenous Productivity
Doraszelski, U., & Jaumandreu, J. (2013) · The Review of Economic Studies · doi:10.1093/restud/rdt011 · Cited by 522
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
- Linton, O., Maasoumi, E., & Whang, Y.-J.
- Venue
- Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2005-07
- Volume
- 72
- Issue
- 3
- Pages
- 735-765
- ISSN
- 0034-6527 (ISSN-L)
- 1467-937X
- OpenAlex
- W2136168643
- Cited by
- 512
- References
- 39
- FWCI
- 31.81
- Type
- journal article
- Language
- en
- Open access
- green
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