Lee, Sokbae, Linton, Oliver and Whang, Yoon-Jae (2006) Testing for stochastic monotonicity. . Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications. 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.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2006 the authors |
| Divisions: | Financial Markets Group Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods |
| Date Deposited: | 21 Apr 2008 11:43 |
| Last Modified: | 13 Sep 2024 20:01 |
| URI: | http://eprints.lse.ac.uk/id/eprint/4425 |
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