NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY

B-Tier
Journal: Econometric Theory
Year: 2013
Volume: 29
Issue: 1
Pages: 90-114

Authors (2)

Juhl, Ted (not in RePEc) Xiao, Zhijie (Boston College)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:29:y:2013:i:01:p:90-114_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29