Faculty of Economics and Business Administration Publications Database

Testing for Stationarity in Large Panels with Cross-Dependence, and US Evidence on Unit Labor Cost

Authors:
Demetrescu, Matei
Tarcolea, Adina I.
Source:
Volume: 37
Number: 8
Pages: 1381 - 1397
Month: August
ISSN-Print: 0266-4763
Link External Source: Online Version
Year: 2010
Keywords: Panel KPSS-Type Test; Cross-Correlation; Inflation Dynamics
Abstract: A new stationarity test for heterogeneous panel data with large cross-sectional dimension is developed and used to examine a panel with growth rates of unit labor cost in the USA. The test allows for strong cross-unit dependence in the form of unbounded long-run correlation matrices, for which a simple parameterization is proposed. A KPSS-type distribution results asymptotically if letting T?? be followed by N??. Some evidence against stationarity (short memory) is found for the examined series.
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