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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

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

Testing Additivity in Generalized Nonparametric Regression Models

Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1995

asymptotic null distribution is a mixture of chi-squares. A bootstrap procedure is proposed for calculating the critical values …

Persistent link: https://www.econbiz.de/10005762468

Conditional Independence Restrictions: Testing and Estimation

Linton, Oliver; Gozalo, Pedro - Cowles Foundation for Research in Economics, Yale University - 1996

. The asymptotic null distribution of the test statistic is a functional of a Gaussian process. A bootstrap procedure is …

Persistent link: https://www.econbiz.de/10005464056

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

Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We...

Persistent link: https://www.econbiz.de/10010746600

Evaluating Value-at-Risk Models via Quantile Regression

Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - National Centre for Econometric Research (NCER) - 2010

This paper is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available in the literature, such...

Persistent link: https://www.econbiz.de/10008694499

Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - London School of Economics (LSE) - 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/10010745043

Bootstrap tests of stochastic dominance with asymptotic similarity in the boundary

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

Persistent link: https://www.econbiz.de/10010318570