Testing for stochastic dominance using the weighted McFadden-type statistic

Journal of Econometrics

Volumn 133, Issue 1, 2006, Pages 191-205

  Horváth, Lajos ^a   Kokoszka, Piotr ^b   Zitikis, Ričardas ^c  

^a UNIVERSITY OF UTAH   (United States)

^b UTAH STATE UNIVERSITY   (United States)

^c UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Asymptotic distribution; Bootstrap; Brownian bridge; Kolmogorov Smirnov type statistic; Stochastic dominance

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; REAL TIME SYSTEMS; STATISTICAL METHODS;

ASYMPTOTIC DISTRIBUTION; BOOTSTRAP; BROWNIAN BRIDGE; KOLMOGOROV-SMIRNOV-TYPE STATISTIC; STOCHASTIC DOMINANCE;

STOCHASTIC CONTROL SYSTEMS;

EID: 33745845480     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.03.013     Document Type: Article

References (20)

1. Anderson G. Nonparametric tests of stochastic dominance in income distributions. Econometrica 64 (1996) 1183-1193
2. Bandourian, R., McDonald, J.B., Turley, R.S., 2002. A comparison of parametric models of income distribution across countries and over time. Technical Report, Department of Economics, Bringham Young University.
3. Barrett G.F., and Donald S.G. Consistent tests for stochastic dominance. Econometrica 71 (2003) 71-104
4. Chakravarty S.R., and Muliere R. Welfare indicators. a review and new perspectives. 1. Measurement of inequality. Metron 61 (2003) 457-497
5. Csörgo{combining double acute accent} S., and Mason D.M. Bootstrapping empirical functions. Annals of Statistics 17 (1989) 1447-1471
6. Davidson R., and Duclos J.-Y. Statistical inference for stochastic dominance and for the measurement of poverty and inequality. Econometrica 68 (2000) 1435-1464
7. Deshpande J.V., and Singh H. Testing for second-order stochastic dominance. Communications in Statistics-Theory and Methods 14 (1985) 887-893
8. Eubank R., Schechtman E., and Yitzhaki S. A test for second-order stochastic dominance. Communications in Statistics-Theory and Methods 22 (1993) 1893-1905
9. Kaur A., Prakasa Rao B.L.S., and Singh H. Testing for second-order stochastic dominance of two distributions. Econometric Theory 10 (1994) 849-866
10. Levy H. Stochastic dominance and expected utility. survey and analysis. Management Science 38 (1992) 555-593
11. Linton, O., Maasoumi, E., Whang, Y., 2003. Consistent testing for stochastic dominance under general sampling schemes. Manuscript, London School of Economics, London, UK.
12. McFadden D. Testing for stochastic dominance. In: Fomby T.B., and Seo T.K. (Eds). Studies in the Economics of Uncertainty (1989), Springer, New York 113-134
13. Mosler K., and Scarsini M. Stochastic orders and decision under risk (1991), Institute of Mathematical Statistics, Hayward, CA
14. Müller A. Orderings of risks. a comparative study via stop-loss transforms. Insurance. Mathematics & Economics 17 (1996) 215-222
15. Müller A., and Stoyan D. Comparison Methods for Stochastic Models and Risks (2002), Wiley, Chichester
16. Schmid F., and Trede M. Testing for first order stochastic dominance in either direction. Computational Statistics 11 (1996) 165-173
17. Schmid, F., Trede, M., 1996b. Nonparametric inference for second-order stochastic dominance Discussion Paper no. 2/96. Seminar of Economics and Social Statistics, University of Cologne, Cologne.
18. Schmid F., and Trede M. A Kolmogorov-type test for second-order stochastic dominance. Statistics & Probability Letters 37 (1998) 183-193
19. Shaked M., and Shanthikumar J.G. Stochastic Orders and their Applications (1994), Academic Press, Boston, MA
20. Tsirel'son B.S. The density of the distribution of the maximum of a Gaussian process. Theory of Probability and its Applications 20 (1975) 847-856