A Monte Carlo Investigation of Some Tests for Stochastic Dominance

• Main Authors: TSE, Yiu Kuen, ZHANG, Xibin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2000
• Subjects: Burr distribution; Income distribution; Monte Carlo method; Portfolio investment; Stochastic dominance; Union-intersection test; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/704; https://ink.library.smu.edu.sg/context/soe_research/article/1703/viewcontent/StocDom.pdf
• Institution: Singapore Management University

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 b...