TESTING FOR STOCHASTICMONOTONICITY

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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Year of publication:	2006-08
Authors:	Lee, Sokbae ; Linton, Oliver ; Whang, Yoon-Jae
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	Distribution function \| Extreme Value Theory \| Gaussian Process \| Monotonicity

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Extent:	application/pdf
Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005797506