کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097085 | 1376569 | 2010 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An improved bootstrap test of stochastic dominance
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: An improved bootstrap test of stochastic dominance An improved bootstrap test of stochastic dominance](/preview/png/5097085.png)
چکیده انگلیسی
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have asymptotic sizes that are less than or equal to the nominal level uniformly over probabilities in the null hypothesis under regularity conditions. This paper also characterizes the set of probabilities so that the asymptotic size is exactly equal to the nominal level uniformly. As our simulation results show, these characteristics of our tests lead to an improved power property in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity of the original test's limiting distribution.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 154, Issue 2, February 2010, Pages 186-202
Journal: Journal of Econometrics - Volume 154, Issue 2, February 2010, Pages 186-202
نویسندگان
Oliver Linton, Kyungchul Song, Yoon-Jae Whang,