Testing for Stochastic Monotonicity

• 成果类型: Article
• 署名作者: Lee, Sokbae; Linton, Oliver; Whang, Yoon-Jae
• 署名单位: University of London; University College London; University of London; London School Economics & Political Science; Seoul National University (SNU)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA7145
• 发表日期: 2009
• 页码: 585-602
• 关键词: intergenerational earnings mobility; regression; CONVERGENCE; INDEPENDENCE; DYNAMICS; industry; rates

摘要

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.