Title
A Monte Carlo Investigation of Some Tests for Stochastic Dominance
Publication Type
Journal Article
Publication Date
2004
Abstract
This paper compares the performance of several tests for stochastic dominance up to order three using Monte Carlo methods. The tests considered are the Davidson and Duclos (2000) test, the Anderson test (1996) and the Kaur, Rao and Singh (1994) test. Only unpaired samples of independent observations are considered, as this is a restriction for both the Anderson and Kaur-Rao-Singh tests. We find that the Davidson-Duclos test appears to be the best. The Kaur-Rao-Singh test is overly conservative and does not compare favorably against the Davidson-Duclos and Anderson tests in terms of power.
Keywords
Burr distribution, Income distribution, Monte Carlo method, Portfolio investment, Stochastic dominance, Union-intersection test
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Statistical Computation and Simulation
Volume
74
Issue
5
First Page
361
Last Page
378
ISSN
0094-9655
Identifier
10.1080/00949650310001593221
Publisher
Taylor and Francis
Citation
TSE, Yiu Kuen and Zhang, Xibin.
A Monte Carlo Investigation of Some Tests for Stochastic Dominance. (2004). Journal of Statistical Computation and Simulation. 74, (5), 361-378. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/129
Additional URL
https://doi.org/10.1080/00949650310001593221