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A nonparametric conditional moment test for structural stability

Hidalgo, Javier (1995) A nonparametric conditional moment test for structural stability. Econometric Theory, 11 (04). p. 671. ISSN 0266-4666

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Abstract

This paper considers a nonparametric conditional moment test of stability of an econometric model against the alternative of instability. The alternative hypothesis allows for more than one structural change, although in this case it has to be fairly smooth. This complements existing results for stability in a parametric setting. Also, it is shown that the test is always consistent, unlike the available “parametric” tests, which normally rely on the assumption of a correct specification of the model, at least under the null hypothesis of no structural instability. Moreover, we show that the test has local power comparable to the parametric ones; that is, its asymptotic efficiency is greater than zero. A Monte Carlo experiment about the performance of our test is described.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 1995 Cambridge University Press
Library of Congress subject classification: Q Science > Q Science (General)
Q Science > QA Mathematics
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 18 Apr 2011 13:48
URL: http://eprints.lse.ac.uk/35722/

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