  We use the recent estimates of NNLO splitting functions, made by van Neerven
and Vogt, to perform exploratory fits to deep inelastic and related hard
scattering data. We investigate the hierarchy of parton distributions obtained
at LO, NLO and NNLO, and, more important, the stability of the resulting
predictions for physical observables. We use the longitudinal structure
function $F_L$ and the cross sections $\sigma_W, \sigma_Z$ for $W$ and $Z$
hadroproduction as examples. For $F_L$ we find relatively poor convergence,
with increasing order, at small $x$; whereas $\sigma_{W,Z}$ are much more
reliably predicted.
