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Javier Hidalgo


Javier Hidalgo - The London School of Economics and Political Science (UK)

Javier Hidalgo received his MSc in Econometrics from the London School of Economics. He graduated in Mathematics from the Complutense University of Madrid. He has been Professor in Econometrics at the London School of Economics since 1991. Before that he was Visiting Assistant Professor of Economics at Texas A&M University, and a Research Associate at the National Bureau of Statistics in Madrid. His research interests are Semiparametric Estimation, Time Series Analysis, Models with Structural Change, Misspecification Testing and Long Memory Processes. Dr. Hidalgo has published his research in reviewed journals in Econometrics, Statistics and Economics. He is a Fellow of the Journal of Econometrics and editor of the Journal of Time Series Econometrics.


PROJECT: Independence Testing based on the quatile process: Developing independence tests based on the quantile regresion function with omnibus properties and with the possibility of designing optimal tests in the direction of known alternatives. Articles in collaboration with Prof. Miguel Delgado and Prof. Carlos Velasco:
• Testing for equality of the correlation structure: Given one sample from P (finite) populations, the aim of this paper is to examine a test for the equality of their correlation structures.
• Testing for Independence: The aim of the paper is to examine a test for independence between two random variables.
•Testing for quantile constancy: This paper proposes and examines an alternative test for the constancy in quantile regression.
• Testing for equality of the correlation structure of an increasing number of series. Given one sample from P populations with P increasing to infinity, the aim of this paper is to discuss a test for the equality of their correlation structures.
• Quantile testing specification. In this paper a test for the specification of the quantile regression is proposed.
• Specification for lattice processes. Tests for the correct specification of a model when data is observed in a lattice are described.

Stay Period: JAN 11 - JUL 11