PySDTest is a Python 3 implementation of routines for Stochastic Dominance tests. This package was created by Kyungho Lee and Yoon-Jae Whang.

The paper contains practical guidance for using PySDTest. In addition, we give an overview about concepts of stochastic dominance and testing methods.

Supported testing procedures include, but are not limited to, tests through the least favorable case approach of Barrett and Donald (2003, BD), subsampling approach of Linton, Maasoumi and Whang (2005, LMW), contact set approach of Linton, Song and Whang (2010, LSW) and selective recentering method of Donald and Hsu (2014, DH). In addition, the numerical delta method by Hong and Li (2018, HL) can be used to compute the critical value.

PySDTest also supports the combination of various resampling methods, test statistics and procedures for approximating the limiting distribution. Furthremore, a user can flexibly conduct a statistical test for advanced/complex hypotheses such as stochastic maximality among distributions.

We also introduce the Stata command pysdtest based on the python package for Stata users.

If you use our package, please cite the paper:

Lee, Kyungho, and Yoon-Jae Whang. "PySDTest: a Python/Stata Package for Stochastic Dominance Tests." arXiv preprint arXiv:2307.10694 (2024).

PySDTest is listed on the Python Package Index (PyPI) which is a repository of software for the Python programming language. If Python is installed on your computer, you can install PySDTest by entering:

pip install PySDTest

in Windows cmd or Mac (or Linux) terminal. For detailed information about installing a Python package, see Python Package User Guide in PyPI.

We also provide the stata command pysdtest that is based on the Python package. To use the command, Stata with version >= 16.0 and installation of the package PySDTest are required. The pysdtest module (.ado and .sthlp files) can be installed in Stata by the following command:

 net install pysdtest, from("https://raw.githubusercontent.com/lee-kyungho/pysdtest/main/Stata") replace

To read the help file for the Stata command pysdtest, execute the following command in Stata:

 help pysdtest