演講者簡介 : Professor Hsu received his Ph.D. from the University of Texas at Austin in 2010. He is currently an associate research fellow of the Institute of Economics, Academia Sinica. His research interest is Econometric Theory.
演講摘要 : We propose a test for a generalized regression monotonicity (GRM) hypothesis. The GRM hypothesis is the sharp testable implication of the monotonicity of certain latent structures, as we show in this paper. Examples include the monotone instrumental variable
assumption of Manski and Pepper (2000) and the monotonicity of the conditional mean function when only interval data are available for the dependent variable. These instances of latent monotonicity can be tested using our test. Moreover, the GRM hypothesis includes regression monotonicity and stochastic monotonicity as special cases. Thus, our test also serves as an alternative to existing tests for those hypotheses. We show that our test controls the size uniformly over a broad set of data generating processes asymptotically, is consistent against fixed alternatives, and has nontrivial power against some n−1/2 local alternatives.
