Publication: Moment conditions for almost stochastic dominance
Program
KU-Authors
KU Authors
Co-Authors
Guo, Xu
Wong, Wing-Keung
Zhu, Lixing
Advisor
Publication Date
2014
Language
English
Type
Journal Article
Journal Title
Journal ISSN
Volume Title
Abstract
This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order of ASD but not on the critical value for the admissible violation area. These conditions can help to reduce the information requirement and computational burden in practical applications. A numerical example and an empirical application to historical stock market data illustrate the moment conditions. The first four moment conditions in particular seem appealing for many applications.
Description
Source:
Economics Letters
Publisher:
Elsevier
Keywords:
Subject
Economics