PySDTest: a Python/Stata Package for Stochastic Dominance Tests
arXiv (Cornell University)(2023)
摘要
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 (Dümbgen, 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.
更多查看译文
关键词
tests,python package
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要