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Inference without smoothing for large panels with cross-sectional and temporal dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - In: Journal of econometrics 223 (2021) 1, pp. 125-160

Persistent link: https://www.econbiz.de/10012619963

Inference without smoothing for large panels with cross-sectional and temporal dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - 2017

Persistent link: https://www.econbiz.de/10011889214

Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence

Hidalgo, Javier; Schafgans, Marcia M - Suntory and Toyota International Centres for Economics … - 2015

This paper is concerned with various issues related to inference in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. Our first aim is to provide a Central Limit Theorem for estimators of the slope...

Persistent link: https://www.econbiz.de/10011240549

A Cusum Test of Common Trends in Large Heterogeneous Panels

Hidalgo, Javier; Lee, Jungyoon - Suntory and Toyota International Centres for Economics … - 2014

This paper examines a nonparametric CUSUM-type test for common trends in large panel data sets with individual fixed effects. We consider, as in Zhang, Su and Phillips (2012), a partial linear regression model with unknown functional form for the trend component, although our test does not...

Persistent link: https://www.econbiz.de/10010945153

Inference and testing breaks in large dynamic panels with strong cross sectional dependence

Hidalgo, Javier; Schafgans, Marcia M. A. - In: Journal of econometrics 196 (2017) 2, pp. 259-274

Persistent link: https://www.econbiz.de/10011818291

A parametric bootstrap test for cycles

Dalla, Violetta; Hidalgo, Javier - London School of Economics (LSE) - 2005

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G(τ), τ ∈ [0; 1]. Because the covariance structure of G(τ) is a...

Persistent link: https://www.econbiz.de/10011071202

A Parametric Bootstrap Test for Cycles

Dalla, Violetta; Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 2005

bootstrap algorithms will allow us to make valid inferences. This motivates us to employ a bootstrap approach to our hypothesis … computationally simpler and bootstrap algorithms will be easier and more feasible to implement. To that end, consider the Whittle … example. Keywords: Cyclical data; strong and weak dependence; spectral density functions; Whittle estimator; bootstrap …

Persistent link: https://www.econbiz.de/10005151154