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Staff Biography
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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 
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Research Interests:
- Long memory time series
- Bootstrap methods in econometrics
Selected Publications:
STICERD/CASE Publications:
- Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence
Javier Hidalgo,
Marcia M Schafgans,
December 2017
Paper No' EM 597:
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Full paper
- Robust Inference and Testing of Continuity in Threshold Regression Models
Javier Hidalgo,
Jungyoon Lee,
Myung Hwan Seo,
February 2017
Paper No' EM590:
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Full paper
- 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:
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Full paper
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
- A Cusum Test of Common Trends in Large Heterogeneous Panels
Javier Hidalgo,
Jungyoon Lee,
August 2014
Paper No' EM/2014/576:
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Full paper
- Testing for equality of an increasing number of spectral density functions
Javier Hidalgo,
Pedro Souza,
Pedro Souza,
June 2013
Paper No' EM/2013/563:
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Full paper
- SPECIFICATION FOR LATTICE PROCESSES
Javier Hidalgo,
Myung Hwan Seo,
May 2013
Paper No' EM/2013/562:
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Full paper
- Testing for Structural Stability in the Whole Sample
Javier Hidalgo,
Myung Hwan Seo,
September 2012
Paper No' EM/2013/561:
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Full paper
- TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE
Javier Hidalgo,
Myunghwan Seo,
October 2011
Paper No' EM/2011/558:
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Full paper
- SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA
Javier Hidalgo,
May 2007
Paper No' EM/2007/518:
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Full paper
- Consistent estimation of the memory parameter for nonlinear time series
Violetta Dalla,
Liudas Giraitis,
Javier Hidalgo,
January 2006
Paper No' EM/2006/497:
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Full paper
- A Parametric Bootstrap Test for Cycles
Violetta Dalla,
Javier Hidalgo,
February 2005
Paper No' EM/2005/486:
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Full paper
- Distribution Free Goodness-of-Fit Tests for Linear Processes
Miguel A. Delgado,
Javier Hidalgo,
Carlos Velasco,
January 2005
Paper No' EM/2005/482:
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Full paper
- Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole
Javier Hidalgo,
January 2005
Paper No' EM/2005/481:
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Full paper
- A Bootstrap Causality Test for Covariance Stationary Processes
Javier Hidalgo,
November 2003
Paper No' EM/2003/462:
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Full paper
- An Alternative Bootstrap to Moving Blocks for Time Series Regression Models
Javier Hidalgo,
May 2003
Paper No' EM/2003/452:
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Full paper
- Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation
Javier Hidalgo,
February 2002
Paper No' EM/2002/430:
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Full paper
- Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory
Javier Hidalgo,
Peter M Robinson,
September 2001
Paper No' EM/2001/427:
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Full paper
- Gaussian Estimation of Parametric Spectral Density with Unknown Pole
Liudas Giraitis,
Javier Hidalgo,
Peter M Robinson,
August 2001
Paper No' EM/2001/424:
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Full paper
- Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain
Javier Hidalgo,
Yoshihiro Yajima,
June 2001
Paper No' EM/2001/418:
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Full paper
- 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:
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Full paper
- 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:
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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:
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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:
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Paper copy now out of print.
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