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Author: Javier Hidalgo

26 results found.

Econometrics Paper

Minimax Risk in Estimating Kink Threshold and Testing

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...

3 March 2022

Econometrics Paper

Nonparametric prediction with spatial data

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...

3 March 2022

Econometrics Paper

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

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...

20 February 2018

Econometrics Paper

Robust Inference and Testing of Continuity in Threshold Regression Models

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...

13 February 2017

Econometrics Paper

Testing for Breaks in Regression Models with Dependent Data

Violetta Dalla and Javier Hidalgo

Econometrics Paper

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

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...

1 April 2015

Econometrics Paper

A Cusum Test of Common Trends in Large Heterogeneous Panels

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...

1 September 2014

Econometrics Paper

Testing for equality of an increasing number of spectral density functions

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...

1 July 2013

Econometrics Paper

SPECIFICATION FOR LATTICE PROCESSES

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...

15 May 2013

Econometrics Paper

Testing for Structural Stability in the Whole Sample

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...

1 September 2012

Econometrics Paper

TESTING FOR STRUCTURAL STABILITY IN THE WHOLE SAMPLE

Javier Hidalgo and Myunghwan Seo

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

1 October 2011

Econometrics Paper

SPECIFICATION TESTING FOR REGRESSION MODELS WITH DEPENDENT DATA

Javier Hidalgo

We describe and examine a consistent test for the correct specification of a regression function with dependent data. The test is based on the supremum of the difference between the parametric and nonparametric estimates...Read more...

May 2007

Econometrics Paper

Consistent estimation of the memory parameter for nonlinear time series

Violetta Dalla, Liudas Giraitis and Javier Hidalgo

For linear processes, semiparametric estimation of the memory parameter, based on the log-periodogram and local Whittle estimators, has been exhaustively examined and their properties are well established. However, excep...Read more...

January 2006

Econometrics Paper

A Parametric Bootstrap Test for Cycles

Violetta Dalla and Javier Hidalgo

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...Read more...

February 2005

Econometrics Paper

Distribution Free Goodness-of-Fit Tests for Linear Processes

Miguel A. Delgado, Javier Hidalgo and Carlos Velasco

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals...Read more...

January 2005

Econometrics Paper

Semiparametric Estimation for Stationary Processes whose Spectra have an Unknown Pole

Javier Hidalgo

We consider the estimation of the location of the pole and memory parameter, ?<sup>0</sup> and a respectively, of covariance stationary linear processes whose spectral density function f(?) satisfies f(?) ~ C|? - ?<sup>0...Read more...

January 2005

Econometrics Paper

A Bootstrap Causality Test for Covariance Stationary Processes

Javier Hidalgo

This paper examines a nonparametric test for Granger-causality for a vector covariance stationary linear process under, possibly, the presence of long-range dependence. We show that the test converges to a non-distributi...Read more...

November 2003

Econometrics Paper

An Alternative Bootstrap to Moving Blocks for Time Series Regression Models

Javier Hidalgo

The purpose of this paper is to introduce and examine two alternative, although similar, approaches to the Moving Blocks and subsampling Bootstraps to bootstrapping the estimator of the parameters for time series regress...Read more...

May 2003

Econometrics Paper

Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation

Javier Hidalgo

Order selection based on criteria by Akaike (1974), AIC, Schwarz (1978), BIC or Hannan and Quinn (1979) HIC is often applied in empirical examples. They have been used in the context of order selection of weakly dependen...Read more...

February 2002

Econometrics Paper

Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Javier Hidalgo and Peter M Robinson

We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum e...Read more...

September 2001

Econometrics Paper

Gaussian Estimation of Parametric Spectral Density with Unknown Pole

Liudas Giraitis, Javier Hidalgo and Peter M Robinson

We consider a parametric spectral density with power-law behaviour about a fractional pole at the unknown frequency w. The case of unknown w, especially w = 0, is standard in the long memory literature. When w is unknown...Read more...

August 2001

Econometrics Paper

Prediction and Signal Extraction of Strong Dependent Processess in the Frequency Domain

Javier Hidalgo and Yoshihiro Yajima

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties ...Read more...

June 2001

Econometrics Paper

Nonparametric Test for Causality with Long-Range Dependence - (Now published in 'Econometrica', 68, (2000) pp.1465-1490.

Javier Hidalgo

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against co...Read more...

April 2000

Econometrics Paper

Time Series Regression with Long Range Dependence - (Now published in 'Annals of Statistics', 25, (1997)pp.2054-2083.)

Javier Hidalgo and Peter M Robinson

A general limit theorem is established for time series regression estimates which include generalized least squares, in the presence of long range dependence in both errors and stochastic regressors. The setting and resu...Read more...

January 1997

Econometrics Paper

Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)

Javier Hidalgo

Smooth nonparametric kernel density and regression estimators are studied when the data is strongly dependent. In particular, we derive Central (and Noncentral) Limit Theorems for the kernel density estimator of a multiv...Read more...

February 1996

Econometrics Paper

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...

February 1996