Hidalgo, Javier and Souza, Pedro (2013) Testing for equality of an increasing number of spectral density functions. Econometrics, EM/2013/563. The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
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 (Technical Report) |
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| Official URL: | http://sticerd.lse.ac.uk/ |
| Additional Information: | © 2013 The Authors |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Identification Number: | EM/2013/563 |
| Date Deposited: | 24 Jul 2014 08:40 |
| URL: | http://eprints.lse.ac.uk/58195/ |
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