Nonparametric panel stationarity testing with an application to crude oil production

被引：3

作者：

Presno, Maria Jose ^{[1
]}

Landajo, Manuel ^{[1
]}

Fernandez-Gonzalez, Paula ^{[1
]}

机构：

[1] Univ Oviedo, Appl Econ, Avda Cristo S-N, Oviedo 33003, Spain

来源：

JOURNAL OF APPLIED STATISTICS | 2022年 / 49卷 / 04期

关键词：

Stationarity testing; panel; nonparametric; bootstrap; oil production; UNIT-ROOT TESTS; RANDOM-WALK; SERIES; NULL; GDP;

D O I：

10.1080/02664763.2020.1846691

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A nonparametric panel stationarity test is proposed which offers the advantage of not requiring prior specification of the trend function for each of the series in the panel. A bootstrap implementation of the test is outlined and its finite sample performance is analyzed via Monte Carlo simulations. An application is also included where the proposed test is used to analyze the stochastic properties of monthly crude oil production for a panel of 20 -both OPEC and non-OPEC- countries from 1973 to 2015. Our analysis detects strong evidence of non-stationarity, both globally and group-wise. Results have implications for the effectiveness of government intervention and stabilization policies.

引用

页码：1033 / 1048

页数：16

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