Nonparametric tests of moment condition stability by Ted Juhl and Zhijie Xiao

By:

Juhl, Ted [author]

Contributor(s):

Xiao Zhijie [co-author]

Material type: Text

TextSeries: Econometric theory ; Volume 29, number 1Cambridge : Cambridge University Press, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

Subject(s):

Nonparametric statistics

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Summary: 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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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	vol. 29, no. 1(pages 90-114)	SP17546	Not for loan	For In house Use

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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.

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