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st: RE: RE: Stochastic dominance!


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Stochastic dominance!
Date   Mon, 20 Apr 2009 14:00:22 +0100

In addition to Roger's excellent suggestions I'd underline the value of
graphical comparison too, for example using -qqplot- and the ideas
covered in 

SJ-7-2  gr0027  . .  Stata tip 47: Quantile-quantile plots without
programming
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        Q2/07   SJ 7(2):275--279                                 (no
commands)
        tip on producing various quantile-quantile (Q-Q) plots

In essence, comparing the distribution functions graphically -- or
equivalently the quantile functions -- should complement, and may tell
you more than, any omnibus measure or test. 

Nick 
n.j.cox@durham.ac.uk 

Newson, Roger B

I don't know what you mean by "2nd order stochastic dominance". However,
stochastic dominance is usually measured using either Somers' D and
Harrell's c. Confidence intervals for both of those can be calculated
using the -somersd- package, downloadable from SSC using the -ssc-
command. The -somersd- package is distributed with 3 .pdf manuals, which
can be downloaded as ancillary files. The on-line help for -somersd-
refers to some Stata Journal articles on the subject, which may be
downloadable from the Stata Journal website at
http://www.stata-journal.com/

Rao, James

I would like to do some stochastic dominance analysis to compae two
distributions and I was just wondering if anyone knows how to conduct
1st and
2nd order stochastic dominance analysis in stata!

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