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Type: Journal Articles Authors: Sokbae 'Simon' Lee and Oliver Linton
Published in: Econometrica
Volume, issue, pages: Vol. 77, No. 2, pp. 585-602
Previous version: cemmap Working Papers [Details]
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. Search |
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