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Also, it is shown that the test is always consistent, unlike the available \u201cparametric\u201d 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.<\/jats:p>","DOI":"10.1017\/s0266466600009683","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:39:43Z","timestamp":1236699583000},"page":"671-698","source":"Crossref","is-referenced-by-count":19,"title":["A Nonparametric Conditional Moment Test for Structural Stability"],"prefix":"10.1017","volume":"11","author":[{"given":"Javier","family":"Hidalgo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600009683_ref020","doi-asserted-by":"publisher","DOI":"10.2307\/2951597"},{"key":"S0266466600009683_ref026","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532676"},{"key":"S0266466600009683_ref016","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/76.3.409"},{"key":"S0266466600009683_ref018","volume-title":"Probability Theory","volume":"1","author":"Lo\u00e9ve","year":"1977"},{"key":"S0266466600009683_ref025","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02571-0_15"},{"key":"S0266466600009683_ref014","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(90)90022-K"},{"key":"S0266466600009683_ref021","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90087-0"},{"key":"S0266466600009683_ref008","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1080\/07350015.1992.10509906","article-title":"A direct test for changing trend","volume":"10","author":"Chu","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600009683_ref012","volume-title":"Lagrange Multiplier Tests for Parameter Instability in Non-linear Models","author":"Hansen","year":"1990"},{"key":"S0266466600009683_ref023","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1960.10482067"},{"key":"S0266466600009683_ref002","doi-asserted-by":"publisher","DOI":"10.2307\/2297408"},{"key":"S0266466600009683_ref015","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1992.tb00094.x"},{"key":"S0266466600009683_ref009","doi-asserted-by":"publisher","DOI":"10.1137\/1114019"},{"key":"S0266466600009683_ref004","volume-title":"Testing for and Dating Breaks in Integrated and Cointegarated Time Series","author":"Bai","year":"1991"},{"key":"S0266466600009683_ref001","doi-asserted-by":"publisher","DOI":"10.2307\/2951764"},{"key":"S0266466600009683_ref011","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-06824-3"},{"key":"S0266466600009683_ref013","first-page":"321","article-title":"Tests for parameter instability in regressions with I (1) processes","volume":"10","author":"Hansen","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600009683_ref022","doi-asserted-by":"publisher","DOI":"10.2307\/1913713"},{"key":"S0266466600009683_ref003","doi-asserted-by":"publisher","DOI":"10.2307\/2951753"},{"key":"S0266466600009683_ref017","doi-asserted-by":"publisher","DOI":"10.2307\/1913102"},{"key":"S0266466600009683_ref010","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-02571-0"},{"key":"S0266466600009683_ref024","doi-asserted-by":"publisher","DOI":"10.2307\/1912705"},{"key":"S0266466600009683_ref007","doi-asserted-by":"publisher","DOI":"10.2307\/1910133"},{"key":"S0266466600009683_ref005","doi-asserted-by":"publisher","DOI":"10.2307\/2938323"},{"key":"S0266466600009683_ref006","doi-asserted-by":"crossref","first-page":"149","DOI":"10.1111\/j.2517-6161.1975.tb01532.x","article-title":"Techniques for testing the constancy of regression relationships over time (with discussion)","volume":"37","author":"Brown","year":"1975","journal-title":"Journal of the Royal Statistical Society, Series B"},{"key":"S0266466600009683_ref019","doi-asserted-by":"publisher","DOI":"10.2307\/1911011"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600009683","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,8]],"date-time":"2025-02-08T05:45:23Z","timestamp":1738993523000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600009683\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1995,8]]},"references-count":26,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1995,8]]}},"alternative-id":["S0266466600009683"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600009683","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1995,8]]}}}