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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


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Volume 24 (2020)

Disentangling the source of non-stationarity in a panel of seasonal data

Shih-Hsun HsuORCID iD: https://orcid.org/0000-0002-8564-4846
Published Online: 2019-12-16 | DOI: https://doi.org/10.1515/snde-2018-0075

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.

This article offers supplementary material which is provided at the end of the article.

Keywords: common factor; consumer price index; pooled test; purchasing power parity; seasonal non-stationarity; seasonal panels; seasonal unit roots

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About the article

Published Online: 2019-12-16


Citation Information: Studies in Nonlinear Dynamics & Econometrics, 20180075, ISSN (Online) 1558-3708, DOI: https://doi.org/10.1515/snde-2018-0075.

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