Changes in the order of integration of US and UK inflation
AbstractEmploying the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 102 (2009)
Issue (Month): 1 (January)
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Inflation Structural change;
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- Andreea Halunga & Denise Osborn & Marianne Sensier, 2007. "Changes in the order of integration of US and UK inflation," The School of Economics Discussion Paper Series 0715, Economics, The University of Manchester.
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