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Testing For Stochasticmonotonicity

Listed author(s):
  • Sokbae Lee
  • Oliver Linton
  • Yoon-Jae Whang

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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File URL: http://sticerd.lse.ac.uk/dps/em/em504.pdf
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Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number 504.

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Date of creation: Aug 2006
Handle: RePEc:cep:stiecm:504
Contact details of provider: Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

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