centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre

ESRC

Keep in touch

Subscribe to cemmap news

Testing for stochastic monotonicity

Authors: Sokbae Lee and Oliver Linton
Date: 01 March 2009
Type: Journal Article, Econometrica, Vol. 77, No. 2, pp. 585-602

Abstract

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.

Download full version
Previous version:
Sokbae Lee, Oliver Linton and Yoon-Jae Whang July 2008, Testing for stochastic monotonicity, cemmap Working Paper, CWP21/08

Publications feeds

Subscribe to cemmap working papers via RSS

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us