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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
cemmap working paper No. CWP21/08
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
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.
Schlagwörter: 
Distribution function
Extreme Value Theory
Gaussian Process
Monotonicity
JEL: 
C14
C15
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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