Title

Consistent Testing for Stochastic Dominance: A Subsampling Approach

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.

This document is currently not available here.

Share

COinS