Library Header Image
LSE Research Online LSE Library Services

Testing for stochastic monotonicity

Lee, Sokbae, Linton, Oliver and Whang, Yoon-Jae (2009) Testing for stochastic monotonicity. Econometrica, 77 (2). pp. 585-602. ISSN 0012-9682

Full text not available from this repository.
Identification Number: 10.3982/ECTA7145


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.

Item Type: Article
Official URL:
Additional Information: © 2009 Wiley-Blackwell
Divisions: Economics
Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 07 Dec 2010 13:16
Last Modified: 03 Jun 2024 18:39

Actions (login required)

View Item View Item