A Kolmogorov-type test for monotonicity of regression

A new nonparametric procedure for testing monotonicity of a regression mean is proposed. The test is shown to have prescribed asymptotic level and good asymptotic power. It is based on the supremum distance from an empirical process to its least concave majorant and is very easily implementable. A simulation study is reported to demonstrate finite sample behavior of the procedure.

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Year of publication:	2003
Authors:	Durot, Cécile
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 63.2003, 4, p. 425-433
Publisher:	Elsevier
Keywords:	Test for monotonicity Least concave majorant Local alternative Power Nonparametric test

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319833