A Monte Carlo Investigation of Some Tests for Stochastic Dominance

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...

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Bibliographic Details
Main Authors: TSE, Yiu Kuen, Zhang, Xibin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/129
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Institution: Singapore Management University
Language: English
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