A Nonparametric Conditional Moment Test for Structural Stability

Javier Hidalgo

Econometric Theory, 1995, vol. 11, issue 04, pages 671-698

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 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.

Date: 1995
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600009683 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:11:y:1995:i:04:p:671-698_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().