Testing for stochastic dominance using the weighted McFadden-type statistic

DOI10.1016/j.jeconom.2005.03.013zbMath1345.62076OpenAlexW1975821510MaRDI QIDQ274913

Ričardas Zitikis, Lajos Horváth, Piotr S. Kokoszka

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.03.013

zbMATH Keywords

bootstrapasymptotic distributionBrownian bridgestochastic dominanceKolmogorov-Smirnov-type statistic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Inequalities; stochastic orderings (60E15)

Related Items (13)

An improved bootstrap test of stochastic dominance ⋮ Stochastic dominance tests ⋮ Spanning tests for Markowitz stochastic dominance ⋮ Instrument validity for heterogeneous causal effects ⋮ Testing stochastic dominance with many conditioning variables ⋮ An improved bootstrap test for restricted stochastic dominance ⋮ Testing for central dominance: method and application ⋮ Estimating conditional tail expectation with actuarial applications in view ⋮ Test statistics for prospect and Markowitz stochastic dominances with applications ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Testing for prospect and Markowitz stochastic dominance efficiency ⋮ Stochastic dominance efficient sets and stochastic spanning ⋮ TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bootstrapping empirical functions
• A Kolmogorov-type test for second-order stochastic dominance
• Orderings of risks: A comparative study via stop-loss transforms
• Testing for first order stochastic dominance in either direction
• Welfare indicators: a review and new perspectives. I. Measurement of inequality
• Testing for second order stochastic dominance
• Stochastic Dominance and Expected Utility: Survey and Analysis
• The Density of the Distribution of the Maximum of a Gaussian Process
• A test for second order stochastic dominance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• Consistent Tests for Stochastic Dominance
• Consistent Testing for Stochastic Dominance under General Sampling Schemes

This page was built for publication: Testing for stochastic dominance using the weighted McFadden-type statistic