Testing for stochastic dominance using the weighted McFadden-type statistic |
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| Authors: | Lajos Horváth Piotr Kokoszka Ri?ardas Zitikis |
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| Institution: | 1. Department of Mathematics, University of Utah, 155 South 1400 East, Salt Lake City, UH 84121-6026, USA;2. Department of Mathematics and Statistics, Utah State University, 3900 Old Main Hill, Logan, UH 84322-3900, USA;3. Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ont., Canada N6A 5B7 |
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| 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. |
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| Keywords: | C12 D31 D63 |
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