Testing for Parallelism Among Trends in Multiple Time Series

This paper considers the inference of trends in multiple, nonstationary time series. To test whether trends are parallel to each other, we use a parallelism index based on the L² -distances between nonparametric trend estimators and their average. A central limit theorem is obtained for the test statistic and the test´s consistency is established. We propose a simulation-based approximation to the distribution of the test statistic, which significantly improves upon the normal approximation. The test is also applied to devise a clustering algorithm. Finally, the finite-sample properties of the test are assessed through simulations and the test methodology is illustrated by a cell phone download data collected in the United States.