학술논문
TESTING FOR STOCHASTIC MONOTONICITY
이용수 3
- 영문명
- TESTING FOR STOCHASTIC MONOTONICITY
- 발행기관
- 한국계량경제학회
- 저자명
- Sokbae Lee Oliver Linton Yoon-Jae Whang
- 간행물 정보
- 『한국계량경제학회 학술대회 논문집』2007년 하계학술대회, 1~29쪽, 전체 29쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2007.08.30
6,280원
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국문 초록
영문 초록
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.
목차
1 Introduction
2 The Test Statistic
3 Asymptotic Theory
4 Monte Carlo Experiments
5 Application to Intergenerational Income Mobility
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