Consistent Testing for Stochastic Dominance under General Sampling Schemes ∗

@inproceedings{Linton2003ConsistentTF,
  title={Consistent Testing for Stochastic Dominance under General Sampling Schemes ∗},
  author={Oliver Linton and E. Maasoumi and Y W Whang},
  year={2003}
}
We propose a procedure for estimating the critical values of the extended KolmogorovSmirnov tests of Stochastic Dominance of arbitrary order in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence amongst the prospects which are to be ranked. Also, the prospects may be the residuals from certain conditional models, opening the way for conditional ranking. We also propose a test of Prospect Stochastic… CONTINUE READING
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