Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks
Data(s) |
01/05/2010
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Resumo |
In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary process. We find that (1) conventional univariate unit root tests without any structural breaks generally reveal that the inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the inflation rate for panels consisting of countries which were declared nonstationary by univariate tests. <br /> |
Identificador | |
Idioma(s) |
eng |
Publicador |
Informa Healthcare |
Relação |
http://dro.deakin.edu.au/eserv/DU:30024677/narayan-istheraunit-2010.pdf http://dx.doi.org/10.1080/00036840701721596 |
Direitos |
2010, Taylor & Francis |
Tipo |
Journal Article |