Testing for Stochastic Monotonicity

26 Pages Posted: 21 Jul 2008

See all articles by Sokbae Lee

Sokbae Lee

University College London

Oliver B. Linton

University of Cambridge

Yoon-Jae Whang

Seoul National University - School of Economics

Date Written: August 2006

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.

JEL Classification: C14, C15

Suggested Citation

Lee, Sokbae and Linton, Oliver B. and Whang, Yoon-Jae, Testing for Stochastic Monotonicity (August 2006). LSE STICERD Research Paper No. EM504, Available at SSRN: https://ssrn.com/abstract=1163554

Sokbae Lee (Contact Author)

University College London ( email )

Gower Street
London
United Kingdom

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Yoon-Jae Whang

Seoul National University - School of Economics ( email )

San 56-1, Silim-dong, Kwanak-ku
Seoul 151-742
Korea
+82 2 80 6362 (Phone)
+82 2 86 4231 (Fax)

HOME PAGE: http://plaza.snu.ac.kr/~whang

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