Abstract
This paper proposes a simple panel stationarity test which takes into account structural shifts and cross-section dependency. Structural shifts are modelled as gradual/smooth process with a Fourier approximation. The so-called Fourier panel stationarity test has a standard normal distribution. The Monte Carlo simulations indicate that (i) if the error terms are i.i.d, the test shows good size and power properties even in small samples; and (ii) if the error terms are serially correlated, the test has reasonable size and high power. We re-examine the behavior of the international commodity prices and find out an evidence on the persistence of shocks.
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