Testing for equality of an increasing number of spectral density functions

Javier Hidalgo, Pedro Souza and Pedro Souza
Authors registered in the RePEc Author Service: Pedro CL Souza ()

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

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.

Date: 2013-06
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Working Paper: Testing for equality of an increasing number of spectral density functions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:563

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