Consistent Testing for Stochastic Dominance Under General Sampling Schemes

By Oliver B. Linton, Esfandiar Maasoumi, Yoon-Jae Whang. 2005

524 citations recorded by the source corpus.

Subfields: Artificial Intelligence, History and Philosophy of Science, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/50021cd6a88db3ae6f926ed773fc4e5cf17482cb

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Citations in the corpus

Multi-Horizon Forecast Comparison (2019, unknown): “Exceptions are the work of Patton and Timmermann (2012), who propose a test for multi-horizon forecast optimality, and Jordà and Marcellino (2010), who call it path forecast evaluation.”
Inference on Directionally Differentiable Functions (2014, unknown): “, Linton et al .”
Statistical Methods for Distributional Analysis (2015, methodology): “Linton et al. (2005) proposed to use subsampling methods, permitting to estimate critical values in general settings, with arbitrary order s, dependent observations, continuous and discrete supports.”
Consistent Nonparametric Tests for Lorenz Dominance (2014, methodology): “The application of the bootstrap in approximating the asymptotic distribution of a test statistic has been used for similar problems by Andrews (1997), Barrett and Donald (2003), and Linton, Maasoumi, and Whang (2005).”
Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications (2011, unknown): “These days, it is popular to apply SD to explain financial theories and anomalies; see, for example, McNamara (1998), Post and Levy (2005), Fong, et al. (2005), Broll, et al. (2006), Gasbarro, et al (2007) and Wong, et al.”
The Gender Gap between Earnings Distributions (2019, methodology): “We emphasize the need to be transparent about the otherwise informal subjectivity and arbitrariness of the picture that may 9 We employ SD tests based on a generalized Kolmogorov-Smirnov test discussed in Linton, Maasoumi, and Whang (2005).”
Nonparametric estimation of distributional policy effects (2010, unknown): “Other approaches are discussed, for example, by McFadden (1989), Anderson (1996), Davidson and Duclos (2000), Abadie (2002) and Linton, Maasoumi, and Whang (2005).”
Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “Barrett and Donald (2003) develop a Kolmogorov-Smirnov-type test, and Linton et al. (2005) extend their work to relax the iid assumption.”
R&D and Productivity: Estimating Endogenous Productivity (2013, background): “Linton et al. (2005) relax the independence assumption in Barrett and Donald (2003) and their test for stochastic dominance can be applied directly to the expected productivity of each firm in each period (rather than an average thereof).”
Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes (2007, methodology): “Given that we fix h = 1, and given that π = 1 under Rtype=3, we could in principle use the critical values tabulated in Clark and McCracken (2001) and McCracken (2004) for the CM and DM tests.”
Are there Monday effects in stock returns: a stochastic dominance approach (2007, unknown): “[27] Linton, O.”
The effect of corruption on FDI:a parametric and non-parametric analysis (2012, methodology): “It has been shown by Linton et al. (2005) that bootstrapping with a sub-sample is more desirable than bootstrapping with the combined sample as it provides a more accurate test on the boundary of the null.”
A Test of Non-Identifying Restrictions and Confidence Regions for Partially Identified Parameters (2009, methodology): “…also in the estimation of models defined by moment inequalities (see Imbens and Manski (2004) and the link drawn by Rosen (2006) with the literature on constrained statistical testing, surveyed in Sen and Silvapulle (2004)) and stochastic dominance testing (see Linton, Maasoumi, and Whang (2005)).”
An Improved Bootstrap Test of Stochastic Dominance (2010, unknown): “supP2P Eum;N ( N ) Eum;N (GP ) + supP2P Elm;N ( N ) Elm;N (GP ) (28) +supP2P jEum;N (GP ) Elm;N (GP )j : For every m; the rst two terms vanish as N !1 by the previous result in (27).”