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...

We consider the estimation of the location of the pole and memory parameter Wo and d of a covariance stationary process with spectral density (see paper for formula). We investigate optimal rates of convergence for the estimators of Wo and d, and the consequence that the lack of knowledge of Wo...