Testing for stochastic monotonicity

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

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

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)
Pages: 24 pages
Date: 2006-08
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http://eprints.lse.ac.uk/4425/ Open access version. (application/pdf)

Related works:
Journal Article: Testing for Stochastic Monotonicity (2009)
Working Paper: Testing for stochastic monotonicity (2008)
Working Paper: TESTING FOR STOCHASTICMONOTONICITY (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:4425

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