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NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY

Published online by Cambridge University Press:  21 May 2012

Ted Juhl and
Zhijie Xiao
Ted Juhl
Affiliation:
University of Kansas
Zhijie Xiao*
Affiliation:
Boston College
*
*Address correspondence to Zhijie Xiao, Department of Economics, Boston College, Chestnut Hill, MA 02467, U.S.A.; e-mail: xiaoz@bc.edu.
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Abstract

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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.

Information

Type
ARTICLES
Information
Econometric Theory , Volume 29 , Issue 1 , February 2013, pp. 90 - 114
Copyright
Copyright © Cambridge University Press 2012 

Footnotes

We thank Peter Phillips, Jeff Wooldridge, and three referees for very helpful comments on early versions of this paper.

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