Please use this identifier to cite or link to this item:

Title: Disentangling the Source of Non-stationarity in a Panel of Seasonal Data
Authors: 徐士勛
Hsu, Shih-Hsun
Contributors: 經濟系
Keywords: common factor;consumer price index;pooled test;purchasing power parity;seasonal non-stationarity;seasonal panels;seasonal unit roots
Date: 2019-12
Issue Date: 2020-05-26 15:08:27 (UTC+8)
Abstract: In dealing with a panel of seasonal data with cross-section dependence, this paper establishes a common factor model to investigate whether the seasonal and non-seasonal non-stationarity in a series is pervasive, or specific, or both. Without knowing a priori whether the data are seasonal stationary or not, we propose a procedure for consistently estimating the model; thus, the seasonal non-stationarity of common factors and idiosyncratic errors can be separately detected accordingly. We evaluate the methodology in a series of Monte Carlo simulations and apply it to test for non-stationarity and to disentangle their sources in panels of worldwide real exchange rates and of consumer price indexes for 37 advanced economies.
Relation: Studies in Nonlinear Dynamics & Econometrics, pp.1-19
Data Type: article
DOI 連結:
Appears in Collections:[經濟學系] 期刊論文

Files in This Item:

File Description SizeFormat
407.pdf169KbAdobe PDF55View/Open

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing