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: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2000
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| Subjects: | |
| 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 |