Moment conditions for Almost Stochastic Dominance

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 124
Issue: 2
Pages: 163-167

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:124:y:2014:i:2:p:163-167
Journal Field
General
Author Count
4
Added to Database
2026-01-25