出版社：Suntory Toyota International Centres 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 hy- pothesis. We also allow the prospects to be indexed by in…nite as well
as …nite 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
