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.
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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 |
| Date Deposited: | 24 Jul 2014 08:40 |
| Last Modified: | 15 Sep 2023 22:22 |
| URI: | http://eprints.lse.ac.uk/id/eprint/58195 |
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