Testing for equality of an increasing number of spectral density functions

Javier Hidalgo and Pedro Souza ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: J1 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-06-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://eprints.lse.ac.uk/58195/ Open access version. (application/pdf)

Related works:
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:ehl:lserod:58195

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