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An improved bootstrap test of stochastic dominance

[Zeitschriftenartikel]

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-263390

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Abstract 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 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.
Klassifikation Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 186-202
Zeitschriftentitel Journal of Econometrics, 154 (2009) 2
DOI http://dx.doi.org/10.1016/j.jeconom.2009.08.002
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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