A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks
Saban Nazlioglu and
Economic Modelling, 2017, vol. 61, issue C, 181-192
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:61:y:2017:i:c:p:181-192
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