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.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.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/(IS... |
| Additional Information: | © 2009 Wiley-Blackwell |
| Divisions: | Economics STICERD Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 07 Dec 2010 13:16 |
| Last Modified: | 11 Dec 2024 23:33 |
| URI: | http://eprints.lse.ac.uk/id/eprint/30597 |
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