Hidalgo, Javier

Professor Javier Hidalgo  

Department

Position held

Professor of Econometrics

 

Experience keywords:

econometric theory; semiparametric estimation; specification testing; time series analysis

Languages:

Spanish [Spoken: Fluent, Written: Fluent]

Contact Points

LSE phone number:

+44 (0)20 7955 7503

Publications

2017

Hidalgo, Javier (2017) The ethics of New Zealand selling citizenship to tech investor Peter Thiel LSE Business Review (15 Feb 2017) Blog entry

Hidalgo, Javier and Schafgans, Marcia (2017) Inference and testing breaks in large dynamic panels with strong cross sectional dependence Journal of Econometrics, 196 (2). 259-274. ISSN 0304-4076

2015

Hidalgo, Javier and Seo, Myung Hwan (2015) Specification tests for lattice processes Econometric Theory, 31 (02). 294-336. ISSN 0266-4666

2013

Hidalgo, Javier and Seo, Myung Hwan (2013) Testing for structural stability in the whole sample Journal of Econometrics, 175 (2). 84-93. ISSN 0304-4076

Hidalgo, Javier and Souza, Pedro (2013) Testing for equality of an increasing number of spectral density functions Econometrics, EM/2013/563. The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

Hidalgo, Javier and Seo, Myung Hwan (2013) Specification for lattice processes Econometrics, EM/2013/562. The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

2011

Delgado, Miguel A. and Hidalgo, Javier and Velasco, Carlos (2011) Bootstrap assisted specification tests for the afirma model Econometric Theory, 27 (05). 1083-1116. ISSN 0266-4666

2009

Delgado, Miguel A and Hidalgo, Javier and Velasco, Carlos (2009) Bootstrap assisted specification tests for the FARIMA model. In: Third Time Series conference, 22-23 May 2009, Montréal, Canada

Hidalgo, Javier (2009) Goodness of fit for lattice processes Journal of Econometrics, 151 (2). 113-128. ISSN 0304-4076

Delgado, Miguel A. and Hidalgo, Javier and Velasco, Carlos (2009) Distribution-free specification tests for dynamic linear models Econometrics Journal, 12 (s1). S105-S134. ISSN 1368-423X

2008

Hidalgo, Javier and Velasco, Carlos (2008) Specification with lattice processes. In: 1st London and Oxbridge Time Series workshop, 11 Jan 2008, London, UK

Hidalgo, Javier (2008) Specification testing for regression models with dependent data Journal of Econometrics, 143 (1). 143-165. ISSN 0304-4076

Seo, Myung Hwan and Hidalgo, Javier (2008) Testing for structural stability in the whole sample. In: ESRC Econometric Study Group: annual conference 2008, 10-12 Jul 2008, Bristol, UK

2007

Hidalgo, Javier and Zaffaroni, Paolo (2007) A goodness-of-fit test for ARCH(∞)(∞) models Journal of Econometrics, 141 (2). 835-875. ISSN 0304-4076

Hidalgo, Javier (2007) A nonparametric test for weak dependence against strong cycles and its bootstrap analogue Journal of Time Series Analysis, 28 (3). 307-349. ISSN 0143-9782

2006

Lazarova, Stepana and Hidalgo, Javier (2006) Inference on the time of break. In: Breaks and persistence in econometrics, 11-12 Dec 2006, London, UK

Hidalgo, Javier and Kreiss, Jens-Peter (2006) Bootstrap specification tests for linear covariance stationary processes Journal of Econometrics, 133 (2). 807-839. ISSN 0304-4076

Dalla, Violetta and Giraitis, Liudas and Hidalgo, Javier (2006) Consistent estimation of the memory parameter for nonlinear time series Journal of Time Series Analysis, 27 (2). 211-251. ISSN 0143-9782

2005

Hidalgo, Javier (2005) A bootstrap causality test for covariance stationary processes Journal of Econometrics, 126 (1). 115-143. ISSN 0304-4076

Dalla, Violetta and Hidalgo, Javier (2005) A parametric bootstrap test for cycles Journal of Econometrics, 129 (1-2). 219-261. ISSN 0304-4076

2004

Hidalgo, Javier and Soulier, Philippe (2004) Estimation of the location and exponent of the spectral singularity of a long memory process Journal of Time Series Analysis, 25 (1). 55-81. ISSN 0143-9782

Hidalgo, Javier (2004) Bootstrap test for breaks of a regression model with dependent data. In: UCL/STAT - Statistics seminars, 06 Feb 2004, Louvain-la-Neuve, Belgium

2003

Hidalgo, Javier and Yajima, Y. (2003) Semiparametric estimation of the long-range parameter Annals of the Institute of Statistical Mathematics, 55 (4). 705-736. ISSN 0020-3157

2002

Hidalgo, Javier and Robinson, Peter (2002) Adapting to unknown disturbance autocorrelation in regression with long memory Econometrica, 70 (4). 1545-1581. ISSN 0012-9682

Hidalgo, Javier and Yajima, Y. (2002) Prediction in the frequency domain under long-range processes with application to the signal extraction problem Econometric Theory, 18 (03). 584-624. ISSN 0266-4666

Hidalgo, Javier (2002) Consistent order selection with strongly dependent data and its application to efficient estimation Journal of Econometrics, 110 (2). 213-239. ISSN 0304-4076

2000

Delgado, Miguel A. and Hidalgo, Javier (2000) Nonparametric inference on structural breaks Journal of Econometrics, 96 (1). 113-144. ISSN 0304-4076

Hidalgo, Javier (2000) Nonparametric test for causality with long-range dependence Econometrica, 68 (6). 1465-1490. ISSN 0012-9682

1999

Hidalgo, Javier (1999) Nonparametric tests for model selection with time series data TEST, 8 (2). 365-398. ISSN 1133-0686

1997

Hidalgo, Javier (1997) Book review: A. Zaman, "statistical foundations for econometric techniques" Journal of the Royal Statistical Society. Series A: Statistics in Society, 160 (2). ISSN 0964-1998

Robinson, P. M. and Hidalgo, Javier (1997) Time series regression with long-range dependence The Annals of Statistics, 25 (1). 77-104. ISSN 0090-5364

1996

Hidalgo, Javier (1996) Book review: H. Bierens, "topics in advanced econometrics" Journal of the Royal Statistical Society. Series A: Statistics in Society, 159 (1). 181-182. ISSN 0964-1998

Baltagi, Badi and Hidalgo, Javier and Li, Qi (1996) A nonparametric test for poolability using panel data Journal of Econometrics, 75 (2). 345-367. ISSN 0304-4076

Hidalgo, Javier (1996) Spectral analysis for bivariate time series with long memory Econometric Theory, 12 (05). 773-792. ISSN 0266-4666

1995

Hidalgo, Javier (1995) A nonparametric conditional moment test for structural stability Econometric Theory, 11 (04). 671. ISSN 0266-4666

1992

Hidalgo, Javier (1992) Adaptive estimation in time serise regression models with heteroskedasticity of unknown form Econometric Theory, 8 (02). 161-187. ISSN 0266-4666

Hidalgo, Javier (1992) Adaptive semiparametric estimation in the presence of autocorrelation of unknown form Journal of Time Series Analysis, 13 (1). 47-78. ISSN 0143-9782

1990

Dolado, Juan J. and Hidalgo, Javier (1990) The asymptotic distribution of the iterated Gauss-Newton estimators of an ARIMA process Econometric Theory, 6 (4). 490-494. ISSN 0266-4666

Expert Image

LSE Research Online|

Collection of LSE research outputs

LSE Consulting|

Service providing unique access
to LSE's expertise

Create or update your
online profile
|

[access restricted to staff]

Research highlights|

Short articles about LSE research