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An application of a new seasonal unit root test to inflation

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  • Narayan, Paresh Kumar
  • Popp, Stephan

Abstract

In this paper, we apply the modified seasonal unit root test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal unit root in Canada's inflation rate, a semi-annual unit root in Germany's inflation rate, and no seasonal unit root at the annual frequency for any of the G7 countries.

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 20 (2011)
Issue (Month): 4 (October)
Pages: 707-716

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Handle: RePEc:eee:reveco:v:20:y:2011:i:4:p:707-716

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Web page: http://www.elsevier.com/locate/inca/620165

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Keywords: Inflation rates The G7 countries Seasonal unit root tests Structural breaks;

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References

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Cited by:
  1. Narayan, Paresh Kumar, 2014. "Response of inflation to shocks: New evidence from Sub-Saharan African countries," Economic Modelling, Elsevier, vol. 36(C), pages 378-382.

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