Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/129953
DC Field | Value | Language |
---|---|---|
dc.contributor | 經濟系 | |
dc.creator | 徐士勛 | |
dc.creator | Hsu, Shih-Hsun | |
dc.date | 2019-12 | |
dc.date.accessioned | 2020-05-26T07:08:27Z | - |
dc.date.available | 2020-05-26T07:08:27Z | - |
dc.date.issued | 2020-05-26T07:08:27Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/129953 | - |
dc.description.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. | |
dc.format.extent | 173971 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Studies in Nonlinear Dynamics & Econometrics, pp.1-19 | |
dc.subject | common factor; consumer price index; pooled test; purchasing power parity; seasonal non-stationarity; seasonal panels; seasonal unit roots | |
dc.title | Disentangling the Source of Non-stationarity in a Panel of Seasonal Data | |
dc.type | article | |
dc.identifier.doi | 10.1515/snde-2018-0075 | |
dc.doi.uri | https://doi.org/10.1515/snde-2018-0075 | |
item.fulltext | With Fulltext | - |
item.cerifentitytype | Publications | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | restricted | - |
item.openairetype | article | - |
Appears in Collections: | 期刊論文 |
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