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庄额嘉、Kuan, CM、Tzeng, LY:Testing for central dominance: Method and application
时间:2017-06-05    点击数:

  AbstractCentral dominance (CD) introduced in Gollier (1995, Journal of Economic Theory) is a risk concept that differs from stochastic dominance (SD) in an important way. In particular, CD implies a deterministic comparative static of a change in decision when risk changes, but SD does not have such an implication. In this paper, we propose the first test of central dominance, which amounts to checking a functional inequality. We derive the asymptotic distribution of a lower bound of the proposed test and suggest a bootstrap procedure to compute the critical values. We also conduct simulations to evaluate the performance of this test. Our empirical study finds clear evidence of CD relations between the S&P 500 index return distributions during 2001-2013 and results in unambiguous implications for investment decisions. (C) 2016 Elsevier B.V. All rights reserved.

  KeywordsCONDITIONAL MOMENT INEQUALITIES; STOCHASTIC-DOMINANCE; COMPARATIVE STATICS; STATISTICAL-INFERENCE;COMPETITIVE FIRM; INCREASING RISK; UNCERTAINTY; DISTRIBUTIONS; DEMAND

  本文刊登在JOURNAL OF ECONOMETRICS,卷:196,期:2,页:368-378

  DOI:10.1016/j.jeconom.2016.07.008,出版年:FEB 2017

  庄额嘉老师为第一兼通讯作者,JOURNAL OF ECONOMETRICS为SSCI、SCI双检索期刊,5年影响因子2.407,为betway必威A类奖励期刊。