出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：We propose a new method of testing stochastic dominance which improves
on existing tests based on bootstrap or subsampling. Our test requires
estimation of the contact sets between the marginal distributions. Our tests
have asymptotic sizes that are exactly equal to the nominal level uniformly
over the boundary points of the null hypothesis and are therefore valid over
the whole null hypothesis. We also allow the prospects to be indexed by
infinite as well as finite dimensional unknown parameters, so that the
variables may be residuals from nonparametric and semiparametric models.
Our simulation results show that our tests are indeed more powerful than the
existing subsampling and recentered bootstrap.
关键词：Set estimation; Size of test; Unbiasedness; Similarity; Bootstrap;
Subsampling.
