An Improved Bootstrap Test of Stochastic Dominance

By Oliver B. Linton, Kyungchul Song, Yoon-Jae Whang. 2010

171 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/320686fb83638ed64c5c31bf3d4b211df3c8d1a9

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Citations in the corpus

Improving the Power of Tests of Stochastic Dominance (2016, methodology): “The importance of higher order stochastic dominance is discussed by McFadden (1989), Anderson (1996), Davidson and Duclos (2000), and BD.”
Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings (2015, background): “But similar hypotheses arise in other applications, e.g. in testing for first- and second-order stochastic dominance of asset returns (see Linton et al. (2010) for a recent contribution to this literature), and perhaps the methods that are used in those applications may be adapted for use here.”
Generic results for establishing the asymptotic size of confidence sets and tests (2020, unknown): “This arises in tests of stochastic dominance and CS’s based on 23 conditional moment inequalities, e.g., see Andrews and Shi (2013, 2014) and Linton et al. (2010).”
Conditional quantile processes based on series or many regressors (2011, methodology): “We estimate the distribution of K under H0 by weighted bootstrap with moment selection to reduce the asymptotic non-similarity on the boundary of composite one sided functional tests (Linton, Song, and Whang [61]).”
Inference on Directionally Differentiable Functions (2014, methodology): “We discuss the relationship between these conditions in detail in Section 3.2; see Remark 3.1.”
Inference on counterfactual distributions (2009, unknown): “…positive effect or stochastic dominance hypotheses by verifying whether the entire null hypothesis falls within the confidence band of the relevant counterfactual functional, e.g., as in Barrett and Donald (2003) and Linton, Song, and Whang (2010).14 Remark 3.2 (On Validity of Confidence Bands).”
Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice (2015, background): “See Linton, Song, and Whang (2010) and Donald and Hsu (2016), as well as the literature on moment inequalities with moment selection (Andrews and Shi (2013), among others).”