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Testing for equality of an increasing number of spectral density functions

  • Javier Hidalgo
  • Pedro Souza
  • Pedro Souza
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    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.

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    File URL: http://sticerd.lse.ac.uk/dps/em/em563.pdf
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    Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2013/563.

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    Date of creation: Jun 2013
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    Handle: RePEc:cep:stiecm:/2013/563
    Contact details of provider: Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

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    1. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
    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. Hidalgo, J. & Yajima, Y., 2002. "Prediction And Signal Extraction Of Strongly Dependent Processes In The Frequency Domain," Econometric Theory, Cambridge University Press, vol. 18(03), pages 584-624, June.
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