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Testing for Stochastic Dominance

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  • H. Dennis Tolley
  • Rulon D. Pope

Abstract

A test for second-degree stochastic dominance is proposed. The test is a permutation test using only the sample data. It is exemplified using data from Kramer and Pope. The test conclusions differ substantially from standard practice in which no statistical test is conducted.

Suggested Citation

  • H. Dennis Tolley & Rulon D. Pope, 1988. "Testing for Stochastic Dominance," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 70(3), pages 693-700.
    • Handle: RePEc:oup:ajagec:v:70:y:1988:i:3:p:693-700.
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    File URL: http://hdl.handle.net/10.2307/1241508
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    Cited by:

    1. J. Pannell, David, 1991. "Pests and pesticides, risk and risk aversion," Agricultural Economics, Blackwell, vol. 5(4), pages 361-383, August.
    2. Jutta Roosen & David A. Hennessy, 2003. "Tests for the Role of Risk Aversion on Input Use," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(1), pages 30-43.
    3. Kuan Xu & Gordon Fisher, 2006. "Myopic loss aversion and margin of safety: the risk of value investing," Quantitative Finance, Taylor & Francis Journals, vol. 6(6), pages 481-494.
    4. Just, Richard E., 2003. "Risk research in agricultural economics: opportunities and challenges for the next twenty-five years," Agricultural Systems, Elsevier, vol. 75(2-3), pages 123-159.
    5. Fisher, Gordon & Willson, Douglas & Xu, Kuan, 1998. "An empirical analysis of term premiums using significance tests for stochastic dominance," Economics Letters, Elsevier, vol. 60(2), pages 195-203, August.
    6. Just, Richard E., 2000. "Some Guiding Principles for Empirical Production Research in Agriculture," Agricultural and Resource Economics Review, Cambridge University Press, vol. 29(2), pages 138-158, October.
    7. Bokusheva, R. & Breustedt, G. & Heidelbach, O., 2007. "Reducing asymmetric information by alternative crop insurance schemes – Testing risk reduction of individual and index-based contracts," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 42, March.
    8. Hennessy, David A., 1997. "Stochastic technologies and the adoption decision," Journal of Development Economics, Elsevier, vol. 54(2), pages 437-453, December.
    9. McCarl, Bruce A., 1990. "Generalized Stochastic Dominance: An Empirical Examination," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(1), pages 1-7, December.
    10. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
    11. Bokusheva, Raushan & Breustedt, Gunnar & Heidelbach, Olaf, 2006. "Measurement and Comparison of Risk Reduction by Means of Farm Yield, Area Yield, and Weather Index Crop Insurance Schemes - The Case of Kazakhstani Wheat Farms," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25523, International Association of Agricultural Economists.
    12. Elamin H. Elbasha, 2005. "Risk aversion and uncertainty in cost‐effectiveness analysis: the expected‐utility, moment‐generating function approach," Health Economics, John Wiley & Sons, Ltd., vol. 14(5), pages 457-470, May.

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