Library Header Image
LSE Research Online LSE Library Services

Testing for equality of an increasing number of spectral density functions

Hidalgo, Javier and Souza, Pedro (2013) Testing for equality of an increasing number of spectral density functions. Econometrics (EM/2013/563). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

PDF - Published Version
Download (212kB) | Preview


Nowadays it is very frequent that a practitioner faces the problem of modelling large data sets. Relevant examples include spatio-temporal or panel data models with large N and T. In these cases deciding a particular dynamic model for each individual/population, which plays a crucial role in prediction and inferences, can be a very onerous and complex task. The aim of this paper is thus to examine a nonparametric test for the equality of the linear dynamic models as the number of individuals increases without bound. The test has two main features: (a) there is no need to choose any bandwidth parameter and (b) the asymptotic distribution of the test is a normal random variable.

Item Type: Monograph (Report)
Official URL:
Additional Information: © 2013 The Authors
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 24 Jul 2014 08:40
Last Modified: 15 Sep 2023 22:22

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics