Testing for common cyclical features in nonstationary panel data models

In this chapter we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to devel op 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 resting procedures and study their properties in a small scale Monte Carlo analysi s. Finally: we apply the framework to the well known permanent income hypot hesis for 22 OECD countries, 1950-1992.