xmlui.dri2xhtml.METS-1.0.item-contributor-funder:
Ministerio de Ciencia e Innovación (España)
Sponsor:
We are also grateful to seminar participants of ECARES (ULB) and to participants of North American Winter Meetings of the Econometric Society, Workshop in Computational and Financial Econometrics in Neuchatel, Far East and South Asia Meetings of the Econometric Society in Singapore, XXXIII Simposium of the Spanish Economic Association in Zaragoza, 4th Tinbergen Institute Conference in Rotterdam, Royal Economic Society in University of Surrey and SOFIE 2009 European conference in Geneva. Financial support from the MICINN ECO2010-19357, ECO2011-22650, NEINVECON 06-11, EXCELECOM-CM grant and Bank of Spain (grant
ER program) is gratefully acknowledged.
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 formThis 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.[+][-]