A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks
Saban Nazlioglu and
Cagin Karul
Economic Modelling, 2017, vol. 61, issue C, 181-192
Abstract:
This paper proposes a simple panel stationarity test which takes into account structural shifts and cross-section dependency. Structural shifts are modelled as gradual/smooth process with a Fourier approximation. The so-called Fourier panel stationarity test has a standard normal distribution. The Monte Carlo simulations indicate that (i) if the error terms are i.i.d, the test shows good size and power properties even in small samples; and (ii) if the error terms are serially correlated, the test has reasonable size and high power. We re-examine the behavior of the international commodity prices and find out an evidence on the persistence of shocks.
Keywords: C12; C23; Q02; Gradual shifts; Fourier approximation; Stationarity test; Panel data; Commodity prices (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (28)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999316307994
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:61:y:2017:i:c:p:181-192
DOI: 10.1016/j.econmod.2016.12.003
Access Statistics for this article
Economic Modelling is currently edited by S. Hall and P. Pauly
More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).