Testing for Stochastic Monotonicity

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

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Year of publication:	[2008]
Authors:	Lee, Sokbae
Other Persons:	Linton, Oliver B. (contributor) ; Whang, Yoon-Jae (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Statistischer Test \| Statistical test \| Statistische Verteilung \| Statistical distribution \| Einkommensverteilung \| Income distribution \| Intergenerationale Übertragung \| Intergenerational transfer

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Extent:	1 Online-Ressource (26 p)
Series:	LSE STICERD Research Paper ; No. EM504
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2006 erstellt
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012770902