دانلود رایگان مقاله آزمون پانل مانایی با تغییرات ساختاری تدریجی

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.

5. Conclusion

This paper proposes a simple panel stationarity test with gradual/ smooth structural shifts, cross-section dependency, and cross-sectional heterogeneity. To account for structural shifts, we employ a Fourier approximation which does not require a priori knowledge on date, number, and form of breaks. The asymptotic distribution of the individual statistics under the null hypothesis only depends on the Fourier frequency and the panel statistic has a standard normal distribution after the standardization with the asymptotic moments. We investigate the small sample properties by Monte Carlo simulations for the different data generating processes. The findings for the size and power properties can be summarized as: (i) if the error terms are i.i.d. and the number of Fourier frequency is correctly specified then the Fourier panel statistic shows good size and power even when N is larger than T irrespective of the number of Fourier terms, (ii) if the error terms are i.i.d. but the number of Fourier frequency is wrongly specified in testing procedure, even though there is a size distortion and power reduction in the panel data sets where T is equal to or smaller than 50, fortunately the size distortions disappear as T increase and the power increases with larger T or N or both, (iii) if the error terms are serially correlated, the Fourier panel stationarity test has reasonable size and keeps its good power properties.