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TESTING FOR STOCHASTICMONOTONICITY

Sokbae (Simon) Lee (), Oliver Linton () and Yoon-Jae Whang ()

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: 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)
Date: 2006-08
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http://sticerd.lse.ac.uk/dps/em/em504.pdf (application/pdf)

Related works:
Journal Article: Testing for Stochastic Monotonicity (2009) Downloads
Working Paper: Testing for stochastic monotonicity (2008) Downloads
Working Paper: Testing for stochastic monotonicity (2006) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:504

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