A Nonparametric Conditional Moment Test for Structural Stability
提出一种非参数条件矩检验，用于检测计量经济模型的结构稳定性，允许存在多个结构变化，且检验始终一致，局部功效与参数检验相当。
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.