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Nonparametric Tests Of Moment Condition Stability

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  • Juhl, Ted
  • Xiao, Zhijie

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.

Suggested Citation

  • Juhl, Ted & Xiao, Zhijie, 2013. "Nonparametric Tests Of Moment Condition Stability," Econometric Theory, Cambridge University Press, vol. 29(01), pages 90-114, February.
  • Handle: RePEc:cup:etheor:v:29:y:2013:i:01:p:90-114_00
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    Cited by:

    1. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    2. Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," Journal of Econometrics, Elsevier, vol. 196(2), pages 259-274.
    3. Javier Hidalgo & Marcia M Schafgans, 2015. "Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence," STICERD - Econometrics Paper Series /2015/583, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Hidalgo, Javier & Schafgans, Marcia, 2017. "Inference and testing breaks in large dynamic panels with strong cross sectional dependence," LSE Research Online Documents on Economics 68839, London School of Economics and Political Science, LSE Library.
    5. Wu, Jilin, 2016. "Detecting structural changes under nonstationary volatility," Economics Letters, Elsevier, vol. 146(C), pages 151-154.
    6. Wu, Jilin, 2016. "A test for changing trends with monotonic power," Economics Letters, Elsevier, vol. 141(C), pages 15-19.
    7. repec:eee:econom:v:202:y:2018:i:2:p:245-267 is not listed on IDEAS

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