Testing for stochastic monotonicity

Lee, Sokbae, Linton, Oliver and Whang, Yoon-Jae (2006) Testing for stochastic monotonicity. EM/2006/504. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, 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)
Official URL:	http://sticerd.lse.ac.uk
Additional Information:	© 2006 the authors
Uncontrolled Keywords:	Distribution function; Extreme Value Theory; Gaussian Process; Monotonicity.
Library of Congress subject classification:	H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System:	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
Sets:	Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
Identification Number:	EM/2006/504
URL:	http://eprints.lse.ac.uk/4425/

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