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| Title: | | Testing for stochastic monotonicity  |
| 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)
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