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政大機構典藏 > 社會科學學院 > 經濟學系 > 期刊論文 > Item 140.119/129953

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129953

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:	https://doi.org/10.1515/snde-2018-0075
DOI:	10.1515/snde-2018-0075
Appears in Collections:	[經濟學系] 期刊論文

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