EconStor >
Institute for Fiscal Studies (IFS), London >
cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/64767
  
Title:Testing for stochastic monotonicity PDF Logo
Authors:Lee, Sokbae
Linton, Oliver
Whang, Yoon-Jae
Issue Date: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:doi:10.1920/wp.cem.2008.2108
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

Files in This Item:
File Description SizeFormat
574284761.pdf493.83 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/64767

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.