Zhang, Yonghui; Su, Liangjun; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2011
This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based on a measure of nonparametric goodness-of-fit (R^2). We first estimate the model under the null hypothesis of common trends by the method of profile least squares, and obtain...