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A Nonparametric Conditional Moment Test forStructural Stability

Published online by Cambridge University Press:  11 February 2009

Javier Hidalgo
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Abstract

This paper considers a nonparametric conditional momenttest of stability of an econometric model againstthe alternative of instability. The alternativehypothesis allows for more than one structuralchange, although in this case it has to be fairlysmooth. This complements existing results forstability in a parametric setting. Also, it is shownthat the test is always consistent, unlike theavailable “parametric” tests, which normally rely onthe assumption of a correct specification of themodel, at least under the null hypothesis of nostructural instability. Moreover, we show that thetest has local power comparable to the parametricones; that is, its asymptotic efficiency is greaterthan zero. A Monte Carlo experiment about theperformance of our test is described.

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Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 4 , August 1995 , pp. 671 - 698
Copyright
Copyright © Cambridge University Press 1995

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References

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