Testing for central dominance: method and application

DOI10.1016/J.JECONOM.2016.07.008MaRDI QIDQ503582zbMATH OpenOpenAlexFDO

Authors O-Chia Chuang, Larry Y. Tzeng, Chung-Ming Kuan

Publication date 13 January 2017

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.07.008

zbMATH Keywords

stochastic dominanceportfolio selectionfunctional inequalitycentral dominancecontact set

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10)

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Cites work

• A Note on Portfolio Dominance
• A Ratio Criterion for Signing the Effects of an Increase in Uncertainty
• A tale of two tails: an alternative characterization of comparative risk
• An improved bootstrap test of stochastic dominance
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Consistent Tests for Stochastic Dominance
• Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand
• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Improving the power of tests of stochastic dominance
• Inference based on conditional moment inequalities
• Inference for parameters defined by moment inequalities using generalized moment selection
• Introduction to empirical processes and semiparametric inference
• Nonparametric Tests of Stochastic Dominance in Income Distributions
• Nonparametric inference based on conditional moment inequalities
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Statistical Inference for the Measurement of the Incidence of Taxes and Transfers
• Stochastic Dominance and Expected Utility: Survey and Analysis
• Strong Increases in Risk and Their Comparative Statics
• Testing for stochastic dominance using the weighted McFadden-type statistic
• The Efficiency Analysis of Choices Involving Risk
• The comparative statics of changes in risk revisited

Cited in

(2)

• scientific article; zbMATH DE number 961203 (Why is no real title available?)
• Likelihood Ratio Tests for Lorenz Dominance

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