CONDITIONAL STOCHASTIC DOMINANCE TESTS IN DYNAMIC SETTINGS

• 成果类型: Article
• 署名作者: Gonzalo, Jesus; Olmo, Jose
• 署名单位: Universidad Carlos III de Madrid; University of Southampton
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12072
• 发表日期: 2014
• 页码: 819-838
• 关键词: nonparametric-tests; kernel estimation; inference; distributions; models; rates

摘要

This article proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual dependence between random variables and has an asymptotic distribution that can be easily approximated by simulation. This method has good finite-sample performance. These tests are applied to determine investment efficiency between U. S. industry portfolios conditional on the dynamics of the market portfolio. The empirical analysis suggests that Telecommunications dominates the other sectoral portfolios under risk aversion.