Disentangling the source of non-stationarity in a panel of seasonal data
Hsu Shih-Hsun ()
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Hsu Shih-Hsun: Department of Economics, National Chengchi University, Taipei 11605, Taiwan, Tel.: +886-2-2939-3091 ext: 51667, Fax: +886-2-2939-0344
Studies in Nonlinear Dynamics & Econometrics, 2021, vol. 25, issue 1, 18
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.
Keywords: common factor; consumer price index; pooled test; purchasing power parity; seasonal non-stationarity; seasonal panels; seasonal unit roots (search for similar items in EconPapers)
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