Consistent Tests for Stochastic Dominance

DOI10.1111/1468-0262.00390zbMath1137.62332OpenAlexW2058690280MaRDI QIDQ5472955

Garry F. Barrett, Stephen G. Donald

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00390

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Inequalities; stochastic orderings (60E15) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (84)

Intermediate efficiency in nonparametric testing problems with an application to some weighted statistics ⋮ Testing for stochastic dominance using the weighted McFadden-type statistic ⋮ Inference on inequality from household survey data ⋮ Multidimensional welfare comparisons of EU member states before, during, and after the financial crisis: a dominance approach ⋮ Identification of binary choice models with social interactions ⋮ Making classifier performance comparisons when ROC curves intersect ⋮ Incorporating covariates in the measurement of welfare and inequality: methods and applications ⋮ An improved bootstrap test of stochastic dominance ⋮ Nonparametric estimation of distributional policy effects ⋮ A simple test for moment inequality models with an application to English auctions ⋮ New Tests for Richness and Poorness: A Stochastic Dominance Analysis of Income Distributions in Hong Kong ⋮ A note on a family of criteria for evaluating test statistics ⋮ Two-Sample Test Against One-Sided Alternatives ⋮ Are discoveries spurious? Distributions of maximum spurious correlations and their applications ⋮ CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS ⋮ The impact of reduced pre-trade transparency regimes on market quality ⋮ A contamination model for the stochastic order ⋮ Measuring human development: a stochastic dominance approach ⋮ Nonparametric multi-samples test for simple stochastic ordering against unrestricted alternative ⋮ Multidimensional Poverty: Measurement, Estimation, and Inference ⋮ Testing for Restricted Stochastic Dominance ⋮ Stochastic Dominance with Ordinal Variables: Conditions and a Test ⋮ stodom ⋮ Portfolio optimization based on stochastic dominance and empirical likelihood ⋮ Four-decision tests for stochastic dominance, with an application to environmental psychophysics ⋮ Validation of positive expectation dependence ⋮ Testing for more positive expectation dependence with application to model comparison ⋮ Stochastic dominance tests ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Optimal privatization portfolios in the presence of arbitrary risk aversion ⋮ A simple nonparametric test for synergies in multi-object sequential English auctions ⋮ Increasing discriminatory power in well-being analysis using convex stochastic dominance ⋮ Instrument validity for heterogeneous causal effects ⋮ Test of dominance relations based on kernel smoothing method ⋮ A new stochastic dominance criterion for dependent random variables with applications ⋮ Testing for time stochastic dominance ⋮ Hypothetical thinking and the winner's curse: an experimental investigation ⋮ Stochastic ordering of variability measure estimators ⋮ TESTING FOR UNOBSERVED HETEROGENEOUS TREATMENT EFFECTS WITH OBSERVATIONAL DATA ⋮ Estimation of treatment effects under endogenous heteroskedasticity ⋮ Bank characteristics and the interbank money market: a distributional approach ⋮ Likelihood Ratio Tests for Lorenz Dominance ⋮ Testing higher and infinite degrees of stochastic dominance for small samples: a Bayesian approach ⋮ Nonparametric tests for stochastic ordering ⋮ Engel's law reconsidered ⋮ Testing for bivariate stochastic dominance using inequality restrictions ⋮ Toward an empirical analysis of polarization ⋮ Frequentist properties of Bayesian inequality tests ⋮ An improved bootstrap test for restricted stochastic dominance ⋮ Inference based on many conditional moment inequalities ⋮ Testing for central dominance: method and application ⋮ The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions ⋮ Distributional Overlap: Simple, Multivariate, Parametric, and Nonparametric Tests for Alienation, Convergence, and General Distributional Difference Issues ⋮ A kolmogorov-smirnov type test for positive quadrant dependence ⋮ Models for the assessment of treatment improvement: the ideal and the feasible ⋮ 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 ⋮ Robust uniform inference for quantile treatment effects in regression discontinuity designs ⋮ A test for the bidirectional stochastic order with an application to quality control theory ⋮ A Monte Carlo investigation of some tests for stochastic dominance ⋮ The Sensitivity of Chi-Squared Goodness-of-Fit Tests to the Partitioning of Data ⋮ The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market ⋮ Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China ⋮ Value versus growth: stochastic dominance criteria ⋮ Economically relevant preferences for all observed epsilon ⋮ Estimation and inference for distribution functions and quantile functions in treatment effect models ⋮ Testing for positive expectation dependence ⋮ Consistent tests for poverty dominance relations ⋮ A general test for SSD portfolio efficiency ⋮ A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests ⋮ Comparing risks with reference points: a stochastic dominance approach ⋮ Inference on distribution functions under measurement error ⋮ TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE ⋮ Bubble detection and sector trading in real time ⋮ On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty ⋮ NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING ⋮ Myopic loss aversion and margin of safety: the risk of value investing ⋮ Improving the Power of Tests of Stochastic Dominance ⋮ A stochastic dominance approach to financial risk management strategies ⋮ Central moments, stochastic dominance, moment rule, and diversification with an application ⋮ Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models ⋮ General linear formulations of stochastic dominance criteria ⋮ Unified approach to testing functional hypotheses in semiparametric contexts

This page was built for publication: Consistent Tests for Stochastic Dominance