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TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE

Published online by Cambridge University Press:  22 April 2008

Edna Schechtman ,
Amit Shelef ,
Shlomo Yitzhaki  and
Ričardas Zitikis
Edna Schechtman*
Affiliation:
Ben-Gurion University of the Negev
Amit Shelef
Affiliation:
Ben-Gurion University of the Negev
Shlomo Yitzhaki
Affiliation:
The Hebrew University of Jerusalem and Central Bureau of Statistics
Ričardas Zitikis
Affiliation:
University of Western Ontario
*
Address correspondence to Edna Schechtman, Department of Industrial Engineering and Management, Ben-Gurion University of the Negev, Beer-Sheva 84105, Israel; e-mail: ednas@bgu.ac.il.
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Abstract

We consider statistical tests concerning various relationships between two absolute concentration curves (ACCs). In particular, we consider tests for determining if the two ACCs coincide, if one is above another in a specified order, or if they do not intersect without specifying which one is above/below the other one. These problems are of interest in the context of marginal conditional stochastic dominance (MCSD). Constructing statistical tests for the MCSD relies on ideas and also on their modifications developed by Linton, Maasoumi, and Whang (2005, Review of Economic Studies 72, 735–765) in the context of stochastic dominance for distribution functions. Our theoretical considerations are supplemented with a simulation study.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 4 , August 2008 , pp. 1044 - 1062
Copyright
Copyright © Cambridge University Press 2008

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