<p><p>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 diffcult 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 infinite samples. We apply our test to the study of intergenerational income mobility. </p></p>
Authors
Research Fellow Columbia University
Sokbae is an IFS Research Fellow and a Professor at Columbia University, with an interest in Econometrics, Applied Microeconomics and Statistics.
Oliver Linton
SNU
Working Paper details
- DOI
- 10.1920/wp.cem.2008.2108
- Publisher
- IFS
Suggested citation
S, Lee and O, Linton and Y, Whang. (2008). Testing for stochastic monotonicity. London: IFS. Available at: https://ifs.org.uk/publications/testing-stochastic-monotonicity-0 (accessed: 18 April 2024).
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