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Staff Biography


[No Photo] Professor Javier HIDALGO
Professor of Econometrics

Tel: +44 (0)20 7955 7503
Email: f.j.hidalgo@lse.ac.uk
STICERD ,  LSE


Publications on LSE Research Online book

Research Interests:
  • Long memory time series
  • Bootstrap methods in econometrics
Selected Publications: STICERD/CASE Publications:
  • Robust Inference and Testing of Continuity in Threshold Regression Models
    Javier Hidalgo, Jungyoon Lee, Myung Hwan Seo, February 2017
    Paper No' EM590: Read Abstract | Full paper (pdf)

  • Inference and Testing Breaks in Large Dynamic Panels with Strong Cross Sectional Dependence
    Javier Hidalgo, Marcia M Schafgans, April 2015
    Paper No' EM/2015/583: Read Abstract | Full paper (pdf)
    Paper copy now out of print.

  • Testing for Breaks in Regression Models with Dependent Data
    Violetta Dalla, Javier Hidalgo, March 2015
    Paper No' EM/2015/584: Full paper (pdf)

  • A Cusum Test of Common Trends in Large Heterogeneous Panels
    Javier Hidalgo, Jungyoon Lee, August 2014
    Paper No' EM/2014/576: Read Abstract | Full paper (pdf)

  • Testing for equality of an increasing number of spectral density functions
    Javier Hidalgo, Pedro Souza, Pedro Souza, June 2013
    Paper No' EM/2013/563: Read Abstract | Full paper (pdf)

  • SPECIFICATION FOR LATTICE PROCESSES
    Javier Hidalgo, Myung Hwan Seo, May 2013
    Paper No' EM/2013/562: Read Abstract | Full paper (pdf)

  • Testing for Structural Stability in the Whole Sample
    Javier Hidalgo, Myung Hwan Seo, September 2012
    Paper No' EM/2013/561: Read Abstract | Full paper (pdf)

  • TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE
    Javier Hidalgo, Myunghwan Seo, October 2011
    Paper No' EM/2011/558: Read Abstract | Full paper (pdf)

  • SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA
    Javier Hidalgo, May 2007
    Paper No' EM/2007/518: Read Abstract | Full paper (pdf)

  • Consistent estimation of the memory parameter for nonlinear time series
    Violetta Dalla, Liudas Giraitis, Javier Hidalgo, January 2006
    Paper No' EM/2006/497: Read Abstract | Full paper (pdf)

  • A Parametric Bootstrap Test for Cycles
    Violetta Dalla, Javier Hidalgo, February 2005
    Paper No' EM/2005/486: Read Abstract | Full paper (pdf)

  • Distribution Free Goodness-of-Fit Tests for Linear Processes
    Miguel A. Delgado, Javier Hidalgo, Carlos Velasco, January 2005
    Paper No' EM/2005/482: Read Abstract | Full paper (pdf)

  • Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole
    Javier Hidalgo, January 2005
    Paper No' EM/2005/481: Read Abstract | Full paper (pdf)

  • A Bootstrap Causality Test for Covariance Stationary Processes
    Javier Hidalgo, November 2003
    Paper No' EM/2003/462: Read Abstract | Full paper (pdf)

  • An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
    Javier Hidalgo, May 2003
    Paper No' EM/2003/452: Read Abstract | Full paper (pdf)

  • Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation
    Javier Hidalgo, February 2002
    Paper No' EM/2002/430: Read Abstract | Full paper (pdf)

  • Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
    Javier Hidalgo, Peter M Robinson, September 2001
    Paper No' EM/2001/427: Read Abstract | Full paper (pdf)

  • Gaussian Estimation of Parametric Spectral Density with Unknown Pole
    Liudas Giraitis, Javier Hidalgo, Peter M Robinson, August 2001
    Paper No' EM/2001/424: Read Abstract | Full paper (pdf)

  • Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
    Javier Hidalgo, Yoshihiro Yajima, June 2001
    Paper No' EM/2001/418: Read Abstract | Full paper (pdf)

  • Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.
    Javier Hidalgo, April 2000
    Paper No' EM/2000/387: Read Abstract | Full paper (pdf)

  • Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)
    Javier Hidalgo, Peter M Robinson, January 1997
    Paper No' EM/1997/318: Read Abstract
    Paper copy now out of print.

  • Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)
    Javier Hidalgo, February 1996
    Paper No' EM/1996/296: Read Abstract
    Paper copy now out of print.

  • Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)
    Javier Hidalgo, February 1996
    Paper No' EM/1996/295: Read Abstract
    Paper copy now out of print.