In this paper, we propose a new test for testing the stability in macroeconomic time series, based on the LASSO variable selection approach and nonparametric estimation of a time-varying model. The wild bootstrap is employed to obtain its data-dependent critical values. We apply the new method to test the stability of bivariate relations among 92 major Chinese macroeconomic time series. We find that more than 70% bivariate relations are significantly unstable.
