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st: RE: Stochastic dominance!


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Stochastic dominance!
Date   Wed, 22 Apr 2009 13:03:22 +0100

Stephen's not quite right about -cumul-. Strictly, it's not a graphical
command, although once you have the c.d.f. it calculates, plotting that
is just one step away. 

To go directly to plots of the c.d.f. one possibility is -distplot- from
the SJ. To go directly to plots of the quantile function, -qplot- from
the SJ is more flexible than the official command -quantile-. 

-search distplot- and -search qplot- gives locations. In particular,
these two longer discussions of this territory are now accessible to all
from the Stata Journal website. 

SJ-5-3  gr0018  . . . . . . . . . .  Speaking Stata: The protean
quantile plot
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        Q3/05   SJ 5(3):442--460           (see gr41_3 and gr42_3 for
commands)
        discusses quantile and distribution plots as used in
        the analysis of species abundance data in ecology

SJ-4-1  gr0003  . . . . . . . . . . . . Speaking Stata: Graphing
distributions
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        Q1/04   SJ 4(1):66--88                                   (no
commands)
        a review of official and user-written commands for
        graphing univariate distributions; includes tricks
        beyond what is obviously and readily available

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

Stephen P. Jenkins

In addition to the posts on this subject:

The key issue is whether you need to do statistical inference in
addition to plain estimation (do you need standard errors? do you want
to statistically test for differences?).

FO SD is equivalent to comparisons of cumulative density functions
(plenty of graphical tools in Stata, including -cumul-)

SO SD is equivalent to generalized Lorenz dominance. See -svylorenz-
on SSC which also provides sampling variances for GL ordinates in
addition to estimates.

For some income distribution examples, see:  Jenkins, S.P. 2006.
Estimation and interpretation of measures of inequality, poverty, and
social welfare using Stata. Presentation at North American Stata
Users' Group Meetings 2006, Boston MA.
http://econpapers.repec.org/paper/bocasug06/16.htm.

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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