| dc.contributor.author | Juhl, Ted P. | |
| dc.contributor.author | Xiao, Zhijie | |
| dc.date.accessioned | 2014-07-10T13:22:16Z | |
| dc.date.available | 2014-07-10T13:22:16Z | |
| dc.date.issued | 2013-02-01 | |
| dc.identifier.citation | Ted Juhl and Zhijie Xiao. (2013). Nonparametric Tests of Moment Condition Stability. Econometric Theory 29(1):91-114. http://dx.doi.org/10.1017/S0266466612000151 | |
| dc.identifier.issn | 0266-4666 | |
| dc.identifier.uri | http://hdl.handle.net/1808/14682 | |
| dc.description | This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8832413&fileId=S0266466612000151 | |
| dc.description.abstract | This paper considers testing for moment condition instability for a wide variety of models that arise in econometric applications. We propose a nonparametric test based on smoothing the moment conditions over time. The resulting test takes the form of a U-statistic and has a limiting normal distribution. The proposed test statistic is not affected by changes in the distribution of the data, so long as certain simple regularity conditions hold. We examine the performance of the test through a small Monte Carlo experiment. | |
| dc.publisher | Cambridge University Press | |
| dc.title | Nonparametric Tests of Moment Condition Stability | |
| dc.type | Article | |
| kusw.kuauthor | Juhl, Ted | |
| kusw.kudepartment | Economics | |
| kusw.oastatus | fullparticipation | |
| dc.identifier.doi | 10.1017/S0266466612000151 | |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item meets KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess | |
