TY  - BOOK
AU  - Juhl,Ted
AU  - Xiao Zhijie
TI  - Nonparametric tests of moment condition stability
AV  - HB139.T52 ECO 
PY  - 2013///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Nonparametric statistics
N2  - 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
UR  - 10.1017/S0266466612000151
ER  -