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. We ﬁnd that the Davidson-Duclos test appears to b...

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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
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.soe_research-17032019-05-12T08:48:36Z A Monte Carlo Investigation of Some Tests for Stochastic Dominance TSE, Yiu Kuen ZHANG, Xibin 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. 2000-12-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/704 https://ink.library.smu.edu.sg/context/soe_research/article/1703/viewcontent/StocDom.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Burr distribution Income distribution Monte Carlo method Portfolio investment Stochastic dominance Union-intersection test Econometrics
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Burr distribution Income distribution Monte Carlo method Portfolio investment Stochastic dominance Union-intersection test Econometrics
spellingShingle	Burr distribution Income distribution Monte Carlo method Portfolio investment Stochastic dominance Union-intersection test Econometrics TSE, Yiu Kuen ZHANG, Xibin A Monte Carlo Investigation of Some Tests for Stochastic Dominance
description	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.
format	text
author	TSE, Yiu Kuen ZHANG, Xibin
author_facet	TSE, Yiu Kuen ZHANG, Xibin
author_sort	TSE, Yiu Kuen
title	A Monte Carlo Investigation of Some Tests for Stochastic Dominance
title_short	A Monte Carlo Investigation of Some Tests for Stochastic Dominance
title_full	A Monte Carlo Investigation of Some Tests for Stochastic Dominance
title_fullStr	A Monte Carlo Investigation of Some Tests for Stochastic Dominance
title_full_unstemmed	A Monte Carlo Investigation of Some Tests for Stochastic Dominance
title_sort	monte carlo investigation of some tests for stochastic dominance
publisher	Institutional Knowledge at Singapore Management University
publishDate	2000
url	https://ink.library.smu.edu.sg/soe_research/704 https://ink.library.smu.edu.sg/context/soe_research/article/1703/viewcontent/StocDom.pdf
_version_	1770569266816352256

A Monte Carlo Investigation of Some Tests for Stochastic Dominance

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