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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). 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 (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2013 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 24 Jul 2014 08:40
Last Modified: 12 Jun 2019 23:11
URI: http://eprints.lse.ac.uk/id/eprint/58195

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