arXiv 20 Jul 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2307.10694 · PDF · DOI · OpenAlex · Extracted main text
We introduce PySDTest, a Python/Stata package for statistical tests of stochastic dominance. PySDTest implements various testing procedures such as Barrett and Donald (2003), Linton et al. (2005), Linton et al. (2010), and Donald and Hsu (2016), along with their extensions. Users can flexibly combine several resampling methods and test statistics, including the numerical delta method (D\"umbgen, 1993; Hong and Li, 2018; Fang and Santos, 2019). The package allows for testing advanced hypotheses on stochastic dominance relations, such as stochastic maximality among multiple prospects. We first provide an overview of the concepts of stochastic dominance and testing methods. Then, we offer practical guidance for using the package and the Stata command pysdtest. We apply PySDTest to investigate the portfolio choice problem between the daily returns of Bitcoin and the S&P 500 index as an empirical illustration. Our findings indicate that the S&P 500 index returns second-order stochastically dominate the Bitcoin returns.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hong and Li (2018) The numerical delta method | 1.000 | 8 | 3 | 100% |
| 2 | Fang and Santos (2019) Inference on directionally differentiable functions | 1.000 | 7 | 3 | 100% |
| 3 | Dümbgen (1993) On nondifferentiable functions and the bootstrap | 0.843 | 3 | 3 | 100% |
| 4 | Davidson and Duclos (2000) Statistical inference for stochastic dominance and for the measurement of poverty and inequality | 0.737 | 3 | 2 | 100% |
| 5 | Klecan, McFadden and McFadden (1991) A robust test for stochastic dominance | 0.737 | 3 | 2 | 100% |
| 6 | Barrett and Donald (2003) Consistent tests for stochastic dominance | 0.644 | 2 | 2 | 100% |
| 7 | Donald and Hsu (2016) Improving the power of tests of stochastic dominance | 0.644 | 2 | 2 | 100% |
| 8 | Linton, Maasoumi and Whang (2005) Consistent testing for stochastic dominance under general sampling schemes self | 0.644 | 2 | 2 | 100% |
| 9 | Linton, Song and Whang (2010) An improved bootstrap test of stochastic dominance self | 0.644 | 2 | 2 | 100% |
| 10 | Whang (2019) self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 33 scored citations.