Similar Search Results

Consistent testing for stochastic dominance under general sampling schemes

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10010928652

An Improved Bootstrap Test of Stochastic Dominance

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2009

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

Consistent Testing for Stochastic Dominance: A Subsampling Approach

Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2002

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

Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2008

We propose a new method of testing stochastic dominance which improves onexisting tests based on bootstrap or …

Persistent link: https://www.econbiz.de/10008838727

High dimensional semiparametric moment restriction models

Dong, Chaohua; Gao, Jiti; Linton, Oliver - 2018

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

Bootstrap tests of stochastic dominance with asymptotic similarity in the boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - 2008

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

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n-consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10010288299

Nonparametric estimation of a polarization measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-Jae - 2009

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

Persistent link: https://www.econbiz.de/10010288407

Nonparametric estimation of a polarization measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-jae - 2009

Persistent link: https://www.econbiz.de/10003847572

Averaging of moment condition estimators

Chen, Xiaohong; Jacho-Chàvez, David T.; Linton, Oliver - 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

Persistent link: https://www.econbiz.de/10009620338