Testing for Common Cyclical Features in Nonstationary Panel Data Models

32 Pages Posted: 5 Apr 2001

See all articles by Franz C. Palm

Franz C. Palm

University of Maastricht - Department of Economics; CESifo (Center for Economic Studies and Ifo Institute)

Jean-Pierre Urbain

Maastricht University - Department of Economics

Alain Hecq

Maastricht University - Department of Economics

Date Written: February 2000

Abstract

In this paper we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically study and test for common structures and comovements in panel data with autocorrelation present and by an increase in efficiency coming from pooling procedures. We propose sequential testing procedures and study their properties in a small scale Monte Carlo analysis. Finally, we apply the framework to the well known permanent income hypothesis for 22 OECD countries, 1950- 1992.

JEL Classification: C32

Suggested Citation

Palm, Franz C. and Urbain, Jean-Pierre and Hecq, Alain, Testing for Common Cyclical Features in Nonstationary Panel Data Models (February 2000). Available at SSRN: https://ssrn.com/abstract=263964

Franz C. Palm

University of Maastricht - Department of Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31-(0)43-3883833 (Phone)
+31-(0)43-3258535 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.cesifo.de

Jean-Pierre Urbain (Contact Author)

Maastricht University - Department of Economics ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands

Alain Hecq

Maastricht University - Department of Economics

P.O. Box 616
Maastricht, 6200 MD
Netherlands

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