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TESTING FOR STOCHASTICMONOTONICITY
Lee, Sokbae (Simon) () and
Oliver Bruce Linton ()
Yoon-Jae Whang STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis isof interest in many applications. Our test is based on the supremum of a rescaledU-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficultbecause the approximating Gaussian stochastic process contains both a stationaryand a nonstationary part and so we have to extend existing results that only applyto either one or the other case.
Keywords: Distribution function; Extreme Value Theory; Gaussian Process; Monotonicity. (search for similar items in EconPapers)
JEL-codes: C14 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Downloads: (external link) http://sticerd.lse.ac.uk/dps/em/em504.pdf (application/pdf)
Related works: Journal Article: Testing for Stochastic Monotonicity (2009) Working Paper: Testing for stochastic monotonicity (2008) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2006/504
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