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Keyword: common trends;
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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
Andrew C Harvey and Siem Jan Koopman
Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper set...Read more...