Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64767
Authors: 
Lee, Sokbae
Linton, Oliver
Whang, Yoon-Jae
Year of Publication: 
2008
Series/Report no.: 
cemmap working paper CWP21/08
Abstract: 
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications in economics. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating Gaussian stochastic process contains both a stationary and a nonstationary part and so we have to extend existing results that only apply to either one or the other case. We also propose a refinement to the asymptotic approximation that we show works much better in finite samples. We apply our test to the study of intergenerational income mobility.
Subjects: 
Distribution function
Extreme Value Theory
Gaussian Process
Monotonicity
JEL: 
C14
C15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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