Nonparametric tests of moment condition stability
Juhl, Ted
Nonparametric tests of moment condition stability by Ted Juhl and Zhijie Xiao - Econometric theory Volume 29, number 1 .
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.
Nonparametric statistics
HB139.T52 ECO
Nonparametric tests of moment condition stability by Ted Juhl and Zhijie Xiao - Econometric theory Volume 29, number 1 .
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.
Nonparametric statistics
HB139.T52 ECO