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- W3128179989 abstract "We propose a test of the hypothesis of conditional stochastic dominance in the presence of many conditioning variables (whose dimension may grow to infinity as the sample size diverges). Our approach builds on a semiparametric location scale model in the sense that the conditional distribution of the outcome given the covariates is characterized by a nonparametric mean function and a nonparametric skedastic function with an independent innovation whose distribution is unknown. We propose to estimate the nonparametric mean and skedastic regression functions by the l₁-penalized nonparametric series estimation with thresholding. Under the sparsity assumption, where the number of truly relevant series terms are relatively small (but their identities are unknown), we develop the estimation error bounds for the regression functions and series coefficients estimates allowing for the time series dependence. We derive the asymptotic distribution of the test statistic, which is not pivotal asymptotically, and introduce the smooth stationary bootstrap to approximate its sample distribution. We investigate the finite sample performance of the bootstrap critical values by a set of Monte Carlo simulations. Finally, our method is illustrated by an application to stochastic dominance among portfolio returns given all the past information." @default.
- W3128179989 created "2021-02-15" @default.
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- W3128179989 date "2020-01-01" @default.
- W3128179989 modified "2023-09-25" @default.
- W3128179989 title "Testing Stochastic Dominance with Many Conditioning Variables" @default.
- W3128179989 doi "https://doi.org/10.2139/ssrn.3535723" @default.
- W3128179989 hasPublicationYear "2020" @default.
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