Arbeitspapier
Testing for stochastic monotonicity
We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications in economics. 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. We also propose a refinement to the asymptotic approximation that we show works much better in finite samples. We apply our test to the study of intergenerational income mobility.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP21/08
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
- Thema
-
Distribution function
Extreme Value Theory
Gaussian Process
Monotonicity
Statistischer Test
Stochastischer Prozess
Statistische Verteilung
Intergenerational Mobility
Einkommensverteilung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Sokbae
Linton, Oliver
Whang, Yoon-Jae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2008
- DOI
-
doi:10.1920/wp.cem.2008.2108
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lee, Sokbae
- Linton, Oliver
- Whang, Yoon-Jae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2008
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