Javier Hidalgo

Econometrics Programme Director and Professor of Econometrics

Expertise: econometrics

Telephone:

+44 (0)20 7955 7503

Email:

f.j.hidalgo@lse.ac.uk

Room:

S579

Connect:

Website

Links:

Econometrics
Department of Economics

Biography

Javier Hidalgo's current research interests are:

Long memory time series
Bootstrap methods in econometrics

Javier's latest projects include:

An alternative bootstrap to moving blocks for time series regression models
A bootstrap causality test for covariance stationary processes
A nonparametric test for weak dependence and its bootstrap analogue

Latest

Econometrics Papers

Nonparametric prediction with spatial data

03 March 2022

Abhimanyu Gupta and Javier Hidalgo

We describe a (nonparametric) prediction algorithm for spatial data, based on a canonical factorization of the spectral density function. We provide theoretical results showing that the predictor has desirable asymptot... Read more...

Econometrics Papers

Minimax Risk in Estimating Kink Threshold and Testing

03 March 2022

Javier Hidalgo, Heejun Lee, Jungyoon Lee and Myung Hwan Seo

We derive a risk lower bound in estimating the threshold parameter without knowing whether the threshold regression model is continuous or not. The bound goes to zero as the sample size n grows only at the cube root ra... Read more...

Econometrics Papers

Inference Without Smoothing for Large Panels with Cross- Sectional and Temporal Dependence

20 February 2018

Javier Hidalgo and Marcia M Schafgans

This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences without relying on the choice of any smoo... Read more...

Joint Econometrics and Statistics Workshop

A simple test for monotonicity and monotonicity-related properties

08 December 2017

Javier Hidalgo (LSE)

We describe and examine a test for shape constraints, such as monotonicity, convexity (or both such properties simultaneously), or U-shape, in a nonparametric framework using partial sums empirical process. We show that,... Read more...

Econometrics Papers

Robust Inference and Testing of Continuity in Threshold Regression Models

13 February 2017

Javier Hidalgo, Jungyoon Lee and Myung Hwan Seo

This paper is concerned with inference in regression models with either a kink or a jump at an unknown threshold, particularly when we do not know whether the kink or jump is the true specification. One of our main resu... Read more...

Joint Econometrics and Statistics Workshop

Testing for stability of the correlation structure

09 December 2016

Javier Hidalgo (LSE)

Econometrics Papers

Testing for Breaks in Regression Models with Dependent Data

04 June 2015

Violetta Dalla and Javier Hidalgo

Econometrics Papers

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

01 April 2015

Javier Hidalgo and Marcia M Schafgans

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 a... Read more...

Econometrics Papers

A Cusum Test of Common Trends in Large Heterogeneous Panels

01 September 2014

Javier Hidalgo and Jungyoon Lee

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 unkno... Read more...

Econometrics Papers

Testing for equality of an increasing number of spectral density functions

01 July 2013

Javier Hidalgo, Pedro Souza and Pedro Souza

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 dyn... Read more...

Econometrics Papers

SPECIFICATION FOR LATTICE PROCESSES

15 May 2013

Javier Hidalgo and Myung Hwan Seo

We consider an omnibus test for the correct speci…cation of the dynamics of a sequence fx (t)gt2Zd in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the e... Read more...

Econometrics Papers

Testing for Structural Stability in the Whole Sample

01 September 2012

Javier Hidalgo and Myung Hwan Seo

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any arti…cial choice of the possible location of the break. In order to prove t... Read more...