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and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap. We …
Persistent link: https://www.econbiz.de/10005593569
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We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …
Persistent link: https://www.econbiz.de/10005011842
We propose a new method of testing stochastic dominance which improves onexisting tests based on bootstrap or …
Persistent link: https://www.econbiz.de/10008838727
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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...
Persistent link: https://www.econbiz.de/10010746327
data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a standard HAC/Bootstrap …
Persistent link: https://www.econbiz.de/10010746385
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...
Persistent link: https://www.econbiz.de/10011941424
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or … results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap. …
Persistent link: https://www.econbiz.de/10010318570