Microdata Methods and Practice

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Working papers

Testing for stochastic monotonicity

Authors: Sokbae 'Simon' Lee, Oliver Linton and Yoon-Jae Whang
Publication type: External publications
Publication date: August 2006 (STICERD)
Pages: STICERD discussion paper No. EM/2006/504

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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Keywords: Distribution function; Extreme Value Theory; Gaussian Process; Monotonicity

JEL classification: C14, C15