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Nonparametric panel stationarity testing with an application to crude oil production
Journal of Applied Statistics ( IF 1.2 ) Pub Date : 2020-11-13 , DOI: 10.1080/02664763.2020.1846691
María José Presno 1 , Manuel Landajo 1 , Paula Fernandez-Gonzalez 1
Affiliation  

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.



中文翻译:

应用于原油生产的非参数面板平稳性检验

提出了一种非参数面板平稳性检验,其优点是不需要预先指定面板中每个系列的趋势函数。概述了测试的引导实现,并通过蒙特卡罗模拟分析了其有限样本性能。还包括一个应用程序,其中提议的测试用于分析 1973 年至 2015 年 20 个欧佩克国家和非欧佩克国家组成的小组每月原油产量的随机特性。我们的分析发现了非平稳性的有力证据,全局和分组。结果对政府干预和稳定政策的有效性有影响。

更新日期:2020-11-13
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