Testing for stochastic dominance using the weighted McFadden-type statistic

We demonstrate that when testing for stochastic dominance of order three and above, using a weighted version of the Kolmogorov–Smirnov-type statistic proposed by McFadden [1989. In: Fomby, T.B., Seo, T.K. (Eds.), Studies in the Economics of Uncertainty. Springer, New York, pp. 113–134] is necessary for obtaining a non-degenerate asymptotic distribution. Since the asymptotic distribution is complex, we discuss a bootstrap approximation for it in the context of a real application.