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Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models

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Author Info
Culver, Sarah E
Papell, David H

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Abstract

Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we find evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data model. We can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries. The non-rejection of the unit root hypothesis for inflation is very fragile to even a small amount of cross-section variation. @ 1997 John Wiley & Sons, Ltd.

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File URL: http://qed.econ.queensu.ca:80/jae/1997-v12.4/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 12 (1997)
Issue (Month): 4 (July-Aug.)
Pages: 435-44
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Handle: RePEc:jae:japmet:v:12:y:1997:i:4:p:435-44

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This page was last updated on 2009-11-21.

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