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Testing For Stochasticmonotonicity

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  • Sokbae Lee
  • Oliver Linton
  • Yoon-Jae Whang

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.

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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2006/504.

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Date of creation: Aug 2006
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Handle: RePEc:cep:stiecm:/2006/504

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Distribution function; Extreme Value Theory; Gaussian Process; Monotonicity.;

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  1. Solon, Gary, 1999. "Intergenerational mobility in the labor market," Handbook of Labor Economics, in: O. Ashenfelter & D. Card (ed.), Handbook of Labor Economics, edition 1, volume 3, chapter 29, pages 1761-1800 Elsevier.
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  9. Dearden, Lorraine & Machin, Stephen & Reed, Howard, 1997. "Intergenerational Mobility in Britain," Economic Journal, Royal Economic Society, vol. 107(440), pages 47-66, January.
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Citations

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Cited by:
  1. Victor Chernozhukov & Sokbae 'Simon' Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers CWP19/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. repec:ese:iserwp:2013-23 is not listed on IDEAS
  3. Markus Jäntti & Stephen P. Jenkins, 2013. "Income Mobility," SOEPpapers on Multidisciplinary Panel Data Research 607, DIW Berlin, The German Socio-Economic Panel (SOEP).
  4. Valentino Dardanoni & Mario Fiorini & Antonio Forcina, 2012. "Stochastic monotonicity in intergenerational mobility tables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(1), pages 85-107, 01.
  5. Victor Chernozhukov & Iván Fernández-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers CWP17/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  6. Ying-Ying Lee, 2014. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Economics Series Working Papers 706, University of Oxford, Department of Economics.
  7. Misha Beek & Hennie Daniels, 2014. "A Non-parametric Test for Partial Monotonicity in Multiple Regression," Computational Economics, Society for Computational Economics, vol. 44(1), pages 87-100, June.
  8. Daniel Gutknecht, 2013. "Testing for Monotonicity under Endogeneity An Application to the Reservation Wage Function," Economics Series Working Papers 673, University of Oxford, Department of Economics.
  9. Delgado, Miguel A. & Escanciano, Juan Carlos, 2012. "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, vol. 170(1), pages 68-75.
  10. Takashi Kamihigashi & John Stachurski, 2011. "Existence, Stability and Computation of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem," Discussion Paper Series DP2011-32, Research Institute for Economics & Business Administration, Kobe University.
  11. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
  12. Raúl Ibarra-Ramírez, 2011. "Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach," Working Papers 2011-03, Banco de México.

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