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Testing for equality of an increasing number of spectral density functions

Author

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  • Javier Hidalgo
  • Pedro Souza
  • Pedro Souza

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.

Suggested Citation

  • Javier Hidalgo & Pedro Souza & Pedro Souza, 2013. "Testing for equality of an increasing number of spectral density functions," STICERD - Econometrics Paper Series 563, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:563
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    References listed on IDEAS

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    1. Peter J. Diggle & Nicholas I. Fisher, 1991. "Nonparametric Comparison of Cumulative Periodograms," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 40(3), pages 423-434, November.
    2. Chang, Chung & Todd Ogden, R., 2009. "Bootstrapping sums of independent but not identically distributed continuous processes with applications to functional data," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1291-1303, July.
    3. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
    4. Hidalgo, J. & Yajima, Y., 2002. "Prediction And Signal Extraction Of Strongly Dependent Processes In The Frequency Domain," Econometric Theory, Cambridge University Press, vol. 18(3), pages 584-624, June.
    5. Holger Dette & Efstathios Paparoditis, 2009. "Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(4), pages 831-857, September.
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    Cited by:

    1. Javier Hidalgo & Jungyoon Lee, 2014. "A Cusum Test of Common Trends in Large Heterogeneous Panels," STICERD - Econometrics Paper Series 576, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. repec:cep:stiecm:/2014/576 is not listed on IDEAS

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    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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