| dc.contributor | 經濟系 | |
| dc.creator (作者) | 徐士勛 | |
| dc.creator (作者) | Hsu, Shih-Hsun | |
| dc.date (日期) | 2019-12 | |
| dc.date.accessioned | 26-五月-2020 15:08:27 (UTC+8) | - |
| dc.date.available | 26-五月-2020 15:08:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 26-五月-2020 15:08:27 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/129953 | - |
| dc.description.abstract (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. | |
| dc.format.extent | 173971 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Studies in Nonlinear Dynamics & Econometrics, pp.1-19 | |
| dc.subject (關鍵詞) | common factor; consumer price index; pooled test; purchasing power parity; seasonal non-stationarity; seasonal panels; seasonal unit roots | |
| dc.title (題名) | Disentangling the Source of Non-stationarity in a Panel of Seasonal Data | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1515/snde-2018-0075 | |
| dc.doi.uri (DOI) | https://doi.org/10.1515/snde-2018-0075 | |
