Document Type
Discussion Paper
Publication Date
2-1-2002
CFDP Number
1356
CFDP Pages
51
Abstract
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k -prospect case. Our method is based on subsampling bootstrap. We show that the resulting test is consistent. We allow for correlation amongst the prospects and for the observations to be autocorrelated over time. Importantly, the prospects may be the residuals from certain conditional models.
Recommended Citation
Linton, Oliver B.; Maasoumi, Esfandiar; and Whang, Yoon-Jae, "Consistent Testing for Stochastic Dominance: A Subsampling Approach" (2002). Cowles Foundation Discussion Papers. 1620.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1620