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Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (248 download)
Download or read book Consistent Testing for Stochastic Dominance written by Oliver B. Linton and published by . This book was released on 2002 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Testing for Stochastic Dominance written by Oliver B. Linton and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting data tests are consistent.
Author : Oliver Linton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)
Download or read book Consistent Testing for Stochastic Dominance Under General Sampling Schemes written by Oliver Linton and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (129 download)
Download or read book Consistent Testing for Stochastic Dominance Under General Sampling Schemes written by Oliver B. Linton and published by . This book was released on 2008 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic Dominance. Our method is based on subsampling and we show that the resulting tests are consistent and powerful against some N -½ local alternatives. We also propose some heuristic methods for selecting subsample size and demonstrate in simulations that they perform reasonably. We describe an alternative method for obtaining critical values based on recentring the test statistic and using full sample bootstrap methods. We compare the two methods in theory and in practice.
Author : Yoon-Jae Whang
Publisher :
ISBN 13 :
Total Pages : 51 pages
Book Rating : 4.:/5 (254 download)
Download or read book Consistent Testing for Stochastic Dominance Under General Subsampling Schemes written by Yoon-Jae Whang and published by . This book was released on 2004 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xu Guo
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)
Download or read book Consistent Tests for Almost Stochastic Dominance written by Xu Guo and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal statistical inference procedure up to now. In this paper, we aim to develop consistent test statistics for the first three order of ASD. Two numerical approaches are proposed to determine the critical values.
Author : Olivier Scaillet
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (718 download)
Download or read book Testing for Stochastic Dominance Efficiency written by Olivier Scaillet and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Silu Lyu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book The General Approaches for In-sample and Out-of-sample Tests of Predictability and Consistent Tests for Stochastic Dominance Under Recursive Schemes for Nested Models written by Silu Lyu and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay reexamines regression-based tests for evaluating one-step-ahead prediction errors in a nested regression framework when the model fitting is based upon the out-of-sample method. We reaffirm the asymptotic equivalence between frequently used test statistics for out-of-sample predictive accuracy and F statistics in the in-sample case. When the out-of-sample window size is variable, it is shown that asymptotically the corresponding test statistics converge weakly to functionals of Brownian motion. In addition, the asymptotic densities under the alternative are shown to be related to densities of the null hypothesis by a simple convolution operation. Simulation results confirm that the empirically approximated statistics are functions of the in-sample ratios, and the terms omitted are negligible in size. Also, it is revealed that the empirical powers of out-of-sample tests are quite close to those in the in-sample case. Three stocks from the US stock market are modeled and analyzed to illustrate the proposed methodology. The second essay investigates consistent tests of stochastic dominance to select among nested models. Similar to the first essay, we compute one-step-ahead out-of-sample predictive errors and obtain predictive accuracy of two nested models. Then, we define and develop stochastic tests at both lower orders (first-order and second-order) and higher orders (third-order and fourth-order). We propose a recursive method to obtain critical values by bootstrapping and conduct power tests. We find that this method works perfectly for small sample size and small estimation size. When the sample size gets larger, two series of predictive accuracy might cross multiple times. We solve this problem by investigating on higher-order stochastic dominance. In the end, we apply this stochastic dominance (SD) rule to financial data. Three stocks from the US stock market are modeled and reaffirm the efficiency and correctness of our theory.
Author : Thomas B. Fomby
Publisher : Springer Science & Business Media
ISBN 13 : 1461389224
Total Pages : 233 pages
Book Rating : 4.4/5 (613 download)
Download or read book Studies in the Economics of Uncertainty written by Thomas B. Fomby and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 233 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in the Economics of Uncertainty presents some new developments in the economics of uncertainty produced by leading scholars in the field. The contributions to this Festschrift in honor of Professor Josef Hadar of Southern Methodist University cover a broad range of topics centered on the principle of Stochastic Dominance. Topics covered range from theoretical and statistical developments on Stochastic Dominance to new applications of the Stochastic Dominance Theory. The intended audience includes researchers interested in recent developments in tools used for decision-making under uncertainty as well as economists currently applying Stochastic Dominance principles to the analysis of the Theory of Firm, International Trade, and the Theory of Finance.
Author : Yoon-Jae Whang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)
Download or read book Consistent Testing for Stochastic Dominance written by Yoon-Jae Whang and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoon-Jae Whang
Publisher : Cambridge University Press
ISBN 13 : 1108690475
Total Pages : 279 pages
Book Rating : 4.1/5 (86 download)
Download or read book Econometric Analysis of Stochastic Dominance written by Yoon-Jae Whang and published by Cambridge University Press. This book was released on 2019-01-31 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an up-to-date, comprehensive coverage of stochastic dominance and its related concepts in a unified framework. A method for ordering probability distributions, stochastic dominance has grown in importance recently as a way to measure comparisons in welfare economics, inequality studies, health economics, insurance wages, and trade patterns. Whang pays particular attention to inferential methods and applications, citing and summarizing various empirical studies in order to relate the econometric methods with real applications and using computer codes to enable the practical implementation of these methods. Intuitive explanations throughout the book ensure that readers understand the basic technical tools of stochastic dominance.
Author : Songsak Sriboonchita
Publisher : CRC Press
ISBN 13 : 9781420082678
Total Pages : 455 pages
Book Rating : 4.0/5 (826 download)
Download or read book Stochastic Dominance and Applications to Finance, Risk and Economics written by Songsak Sriboonchita and published by CRC Press. This book was released on 2009-10-19 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful Concepts and Techniques for Economics ApplicationsThe
Author : Kyungchul Song
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing Distributional Inequalities and Asymptotic Bias written by Kyungchul Song and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: When Barret and Donald (2003) in Econometrica proposed a consistent test of stochastic dominance, they were silent about the asymptotic unbiasedness of their tests against (square root) n-converging Pitman local alternatives. This paper shows that when we focus on first-order stochastic dominance, there exists a wide class of (square root) n-converging Pitman local alternatives against which their test is asymptotically biased, i.e., having the local asymptotic power strictly below the asymptotic size. This phenomenon more generally applies to one-sided nonparametric tests which have a sup norm of a shifted standard Brownian bridge as their limit under (square root) n-converging Pitman local alternatives. Among other examples are tests of independence or conditional independence. We provide an intuitive explanation behind this phenomenon, and illustrate the implications using the simulation studies.
Author : Hendrik Kläver
Publisher :
ISBN 13 : 9783832249991
Total Pages : 183 pages
Book Rating : 4.2/5 (499 download)
Download or read book Tests of Stochastic Dominance for Time Series Data written by Hendrik Kläver and published by . This book was released on 2006 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oliver B. Linton
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing for Stochastic Dominance Efficiency written by Oliver B. Linton and published by . This book was released on 2012 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in moderate sized samples.
Author : Eun-Soo Lee
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (35 download)
Download or read book Testing for Stochastic Dominance with Some Applications to Reliability written by Eun-Soo Lee and published by . This book was released on 1995 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ludmyla Rekeda
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (861 download)
Download or read book Statistical Tests for Stochastic Dominance written by Ludmyla Rekeda and published by . This book was released on 2006 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
