Hjellvik, Vidar; Chen, Rong; Tjøstheim, Dag - In: Journal of Time Series Analysis 25 (2004) 6, pp. 831-872
We consider nonparametric estimation and testing of linearity in a panel of intercorrelated time series. We place the emphasis on the situation where there are many time series in the panel but few observations for each of the series. The intercorrelation is described by a latent process, and a...
