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