Publication:
Testing conditional monotonicity in the absence of smoothness

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDelgado, Miguel A.
dc.contributor.authorEscanciano, Juan Carlos
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2010-07-28T12:12:48Z
dc.date.available2010-07-28T12:12:48Z
dc.date.issued2010-03
dc.description.abstractThis article proposes an omnibus test for monotonicity of nonparametric conditional distributions and its moments. Unlike previous proposals, our method does not require smooth estimation of the derivatives of nonparametric curves and it can be implemented even when the probability densities do not exist. In fact, we only require continuity of the marginal distributions. Distinguishing features of our approach are that the test statistic is pivotal under the null and invariant to any monotonic continuous transformation of the explanatory variable in finite samples. The test statistic is the sup-norm of the difference between the empirical copula function and its least concave majorant with respect to the explanatory variable coordinate. The resulting test is able to detect local alternatives converging to the null at the parametric rate n-1/2; like the classical goodness-of-.t tests. The article also discusses restricted estimation procedures under monotonicity and extensions of the basic framework to general conditional moments, estimated parameters and multivariate explanatory variables. The finite sample performance of the test is examined by means of a Monte Carlo experiment.
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/octet-stream
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.repecwe1017
dc.identifier.urihttps://hdl.handle.net/10016/9136
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries10-17
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.jelC14
dc.subject.jelC15
dc.subject.otherStochastic monotonicity
dc.subject.otherConditional moments
dc.subject.otherLeast concave majorant
dc.subject.otherCopula process
dc.subject.otherDistribution-free in finite samples
dc.subject.otherTests invariant to monotone transforms
dc.titleTesting conditional monotonicity in the absence of smoothness
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
we1017.pdf
Size:
235.2 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
DE - Working Papers. Economics. WE
Economists Online