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https://ah.lib.nccu.edu.tw/handle/140.119/129953
題名: | Disentangling the Source of Non-stationarity in a Panel of Seasonal Data | 作者: | 徐士勛 Hsu, Shih-Hsun |
貢獻者: | 經濟系 | 關鍵詞: | common factor; consumer price index; pooled test; purchasing power parity; seasonal non-stationarity; seasonal panels; seasonal unit roots | 日期: | 十二月-2019 | 上傳時間: | 26-五月-2020 | 摘要: | 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. | 關聯: | Studies in Nonlinear Dynamics & Econometrics, pp.1-19 | 資料類型: | article | DOI: | https://doi.org/10.1515/snde-2018-0075 |
Appears in Collections: | 期刊論文 |
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