Publication Type
Working Paper
Version
publishedVersion
Publication Date
12-2000
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. 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
First Page
1
Last Page
28
Citation
TSE, Yiu Kuen and ZHANG, Xibin.
A Monte Carlo Investigation of Some Tests for Stochastic Dominance. (2000). 1-28.
Available at: https://ink.library.smu.edu.sg/soe_research/704
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.