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Abstract
SUMMARY This paper introduces a new distribution-free test for first-order stochastic dominance. It can be viewed as a modification of the well-known Wilcoxon-Mann-Whitney test. As it is based on the p-p-plot of two distribution functions the new test statistic has a nice pictorial interpretation. Its finite sample distribution as well as its asymptotic distribution (which is a functional of the Brownian bridge) are derived and some relevant quantiles are tabulated. The new test is consistent on the whole set of alternatives-including those alternatives which the Wilcoxon-MannWhitney test is inconsistent against. Some Monte Carlo simulations indicate good power properties of the new test within selected families of alternative distributions.
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