NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY
针对计量经济学中多种模型的矩条件不稳定性，提出一种基于时间平滑的非参数检验方法，检验统计量为U统计量且渐近正态，不受数据分布变化影响，并通过蒙特卡洛实验评估其表现。
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.