Consistent Tests for Stochastic Dominance

By G. Barrett, Stephen G. Donald. 2003

702 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/53f70de13e3e1ef7aa5a42afb27fbef7dbaa03ac

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Citations in the corpus

Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002, positive): “…(x;bµk) ¡ FlN (x; bµl) i SN = min k 6=l sup x2X p N Z x ¡1 h FkN(t;bµk) ¡ FlN(t;bµl) i dt PN = min k 6=l sup x;¡y2X+ p N Z x y h FkN(t;bµk) ¡ FlN(t;bµl) i dt: These are precisely the Klecan et al. (1991) test statistics except that we have allowed the prospects to have been estimated from the data.”
Test Statistics for Prospect and Markowitz Stochastic Dominances with Applications (2011, positive): “Too few grids will miss information about the distributions between any two consecutive grids (Barrett and Donald, 2003), and too many grids will violate the independence assumption required by the SMM distribution (Richmond, 1982).”
Bootstrap Tests for Distributional Treatment Effects in Instrumental Variable Models (2002, methodology): “A related approach based on simulation of pvalues can be found in Barrett and Donald (1999). Note that Proposition 2.”
Statistical Methods for Distributional Analysis (2015, background): “Barrett and Donald (2003) proposed simulation-based methods for estimating critical values, taking into account comparisons at all points of the support (functional approach) rather than at a fixed number of arbitrarily chosen points. Linton et al. (2005) proposed to use subsampling methods, permitt”
Nonparametric estimation of distributional policy effects (2010, methodology): “Here we adapt the methods of Barrett and Donald (2003) and consider Kolmogorov-Smirnov-type statistics to test stochastic dominance of F ∗Y over FY for any prespecified order, with critical values obtained via the bootstrap.”
The Foster–Greer–Thorbecke (FGT) poverty measures: 25 years later (2010, background): “Key papers include Anderson [5], Davidson and Duclos [39], and Barrett and Donald [13], each of whom was clearly motivated by”
Nonparametric estimation and inference on conditional quantile processes (2015, background): “Although a large part of the literature has focused on unconditional dominance (see McFadden, 1989 and Barrett and Donald, 2003), conditional dominance has also received interest recently, see Koenker and Xiao (2002), Chernozhukov and Fernández-Val (2005) and Linton, Maasoumi and Whang (2005).”
Stochastic Dominance Analysis of iShares (2007, methodology): “For example, Barrett and Donald (2003) and Tse and Zhang (2004) show that an appropriate choice of ‘m’ for reasonably large samples ranges from 6 to 15.”
$L$-functions, processes, and statistics in measuring economic inequality and actuarial risks (2009, background): “, Davidson and Duclos [19], Barrett and Donald [5], Hall and Yatchew [43], Linton, Maasoumi and Whang [56], Horváth, Kokoszka and Zitikis [48], Schechtman, Shelef, Yitzhaki and Zitikis [80], and Brazauskas, Jones, Puri and Zitikis [11].”
Nonparametric Tests for Common Values at First-Price Sealed-Bid Auctions (2004, positive): “If each vit = v(xit,xit,n) were directly observed, a wide variety of tests for stochastic dominance from the statistics and econometrics literature could be used directly (e.g, McFadden (1989), Anderson (1996), Davidson and Duclos (2000), Barrett and Donald (2003) , Linton, Massoumi, and Whang (200”
Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, neutral): “Barrett and Donald (2003) develop a Kolmogorov-Smirnov-type test, and Linton et al. (2005) extend their work to relax the iid assumption.”
International momentum strategies: a stochastic dominance approach (2005, methodology): “Following Barrett and Donald (2003), we simulate p-values using an arbitrarily fine grid to calculate the suprema of Ks: 5”
Consistent Nonparametric Tests for Lorenz Dominance (2014, methodology): “Our tests are analogous to tests of stochastic dominance (SD) proposed by McFadden (1989) and elaborated and extended by Barrett and Donald (2003).”
Improving the Power of Tests of Stochastic Dominance (2016, methodology): “It is shown that by avoiding the least favorable configuration, our tests are less conservative and more powerful than Barrett and Donald’s (2003) and that under some local alternatives, our tests are more powerful than the subsampling tests proposed by Linton, Maasoumi and Whang (2005).”