Hidalgo, Javier; Lee, Jungyoon - In: Essays in honor of Peter C.B. Phillips, (pp. 303-345). 2014
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 unknown functional form for the trend component, although our test does not...