|This centre is a member of The LSE Research Laboratory [RLAB]: CASE | CEE | CEP | FMG | SERC | STICERD||Cookies?|
Paper No' EM/2008/527: | Full paper
Save Reference as: BibTeX File | EndNote Import File
Keywords: Set estimation; Size of test; Unbiasedness; Similarity; Bootstrap; Subsampling.
JEL Classification: C12; C14; C52
Is hard copy/paper copy available? YES - Paper Copy Still In Print.
This Paper is published under the following series: Econometrics
Share this page: Google Bookmarks | Facebook | Twitter
Abstract:We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly over the boundary points of the null hypothesis and are therefore valid over the whole null hy- pothesis. We also allow the prospects to be indexed by in nite as well as nite dimensional unknown parameters, so that the variables may be residuals from nonparametric and semiparametric models. Our simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap.
Copyright © STICERD & LSE 2005 - 2015 | LSE, Houghton Street, London WC2A 2AE | Tel: +44(0)20 7955 6699 | Email: firstname.lastname@example.org | Site updated 27 January 2015