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Nonparametric Tests of Moment Condition Stability
Juhl, Ted P. Xiao, Zhijie
Juhl, Ted P.
Xiao, Zhijie
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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.
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This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8832413&fileId=S0266466612000151
Date
2013-02-01
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Cambridge University Press
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Juhl_Xiao_2013.pdf
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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