This article proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set. The test allows for general forms of unknown serial and mutual...

In this paper, the authors derive the exact moments of asymptotic distributions of the OLS estimate and t-statistic in an unstable AR(l) with dependent errors. The authors also study the relationship between the number of lagged dependent variables required for matching the distribution moments...