skip to content

Faculty of Economics

Journal Cover

Linton, O., Song, K. and Whang, Y.

An improved bootstrap test of stochastic dominance

Journal of Econometrics

Vol. 154(2) pp. 186-202 (2010)

Abstract: We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have asymptotic sizes that are less than or equal to the nominal level uniformly over probabilities in the null hypothesis under regularity conditions. This paper also characterizes the set of probabilities so that the asymptotic size is exactly equal to the nominal level uniformly. As our simulation results show, these characteristics of our tests lead to an improved power property in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity of the original test’s limiting distribution.

JEL Codes: C73

Author links: Oliver Linton  

Publisher's Link: http://www.sciencedirect.com/science/article/pii/S0304407609001882



Papers and Publications



Recent Publications


Jochmans, K., and Weidner, M. Fixed-Effect Regressions on Network Data Econometrica [2019]

Faraglia, E., Marcet, A., Oikonomou, R. and Scott, A. Government Debt management: the Short and the Long of it Review of Economic Studies [2019]

Aidt, T. S. and Franck, R. What motivates and oligarchic elite to democratize? Evidence from the roll call vote on the Great Reform Act of 1832 Journal of Economic History [2019]

Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables Journal of Econometrics [2019]