Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097599 | Journal of Econometrics | 2006 | 15 Pages |
Abstract
We demonstrate that when testing for stochastic dominance of order three and above, using a weighted version of the Kolmogorov-Smirnov-type statistic proposed by McFadden [1989. In: Fomby, T.B., Seo, T.K. (Eds.), Studies in the Economics of Uncertainty. Springer, New York, pp. 113-134] is necessary for obtaining a non-degenerate asymptotic distribution. Since the asymptotic distribution is complex, we discuss a bootstrap approximation for it in the context of a real application.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lajos Horváth, Piotr Kokoszka, RiÄardas Zitikis,