This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Culver, Sarah E
Papell, David H
Additional information is available for the following
registered author(s):
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.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
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
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:jae:japmet:v:12:y:1997:i:4:p:435-44Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Order Information: Email: Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Franco Bevilacqua & Adriaan van Zon, 2002.
"Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications ,"
Working Papers
geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness.
[Downloadable!]
Emanuela Marrocu & Raffaele Paci & Roberto Pala, 2000.
"Estimation of total factor productivity for regions and sectors in Italy. A panel cointegration approach ,"
Working Paper CRENoS
200016, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
[Downloadable!]
Bevilacqua, Franco, 2006.
"Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period ,"
UNU-MERIT Working Paper Series
012, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
[Downloadable!]
Westerlund Joakim, 2006.
"Testing for Error Correction in Panel Data ,"
Research Memoranda
056, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!]
B. Siliverstovs & D.J. Van Dijk, 2003.
"Forecasting industrial production with linear, nonlinear and structural change models ,"
Econometric Institute Report
321, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Lance J. Bachmeier & Norman R. Swanson, 2003.
"Predicting Inflation: Does The Quantity Theory Help? ,"
Departmental Working Papers
200317, Rutgers University, Department of Economics.
[Downloadable!]
Other versions: Kausik Chaudhuri & Jeffrey Sheen, .
"Purchasing Power Parity Across States and Goods Within Australia ,"
Working Papers
2001-2, University of Sydney, Department of Economics.
[Downloadable!]
Other versions:
Sheen, J. & Chaudhuri, K., 2001.
"Purchasing Power Parity Across States and Goods Within Australia ,"
Papers
2001-2, Sydney - Department of Economics.
Kausik Chaudhuri & Jeffrey Sheen, 2004.
"Purchasing Power Parity Across States and Goods Within Australia ,"
The Economic Record ,
The Economic Society of Australia, vol. 80(250), pages 314-329, 09.
[Downloadable!] (restricted) Stephan Popp, 2008.
"A Nonlinear Unit Root Test in the Presence of an Unknown Break ,"
Ruhr Economic Papers
0045, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
[Downloadable!]
Marcelo Resende & Marcos A. M. Lima, 2005.
"Market share instability in Brazilian industry: a dynamic panel data analysis ,"
Applied Economics ,
Taylor and Francis Journals, vol. 37(6), pages 713-718, April.
[Downloadable!] (restricted)
Caner, Mehmet & Kilian, Lutz, 2000.
"Size Distortions Of Tests Of The Null Hypothesis Of Stationarity: Evidence And Implications For The PPP Debate ,"
CEPR Discussion Papers
2425, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions:
Kilian, L. & Caner, M., 1999.
"Size Distortions of Tests of the Null Hypothesis of Stationarity: Evidence and Implications for the PPP Debate ,"
Papers
99-05, Michigan - Center for Research on Economic & Social Theory.
Caner, M. & Kilian, L., 2001.
"Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate ,"
Journal of International Money and Finance ,
Elsevier, vol. 20(5), pages 639-657, October.
[Downloadable!] (restricted) Bevilacqua, Franco, 2006.
"Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period ,"
UNU-MERIT Working Paper Series
016, United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology.
[Downloadable!]
Erik Hjalmarsson & Pär Österholm, 2007.
"Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated ,"
IMF Working Papers
07/141, International Monetary Fund.
[Downloadable!]
Other versions: Andros Gregoriou & Alexandros Kontonikas, 2005.
"Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test ,"
Working Papers
2005_10, Department of Economics, University of Glasgow.
[Downloadable!]
Other versions: Frank Strobel, 2004.
"Monetary integration and inflation preferences: a real options analysis ,"
Money Macro and Finance (MMF) Research Group Conference 2003
95, Money Macro and Finance Research Group.
[Downloadable!]
Other versions: Westerlund Joakim, 2006.
"Panel Cointegration Tests of the Fisher Effect ,"
Research Memoranda
054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!]
Luis Alberiko Gil-Alana & Pedro Garcia-del-Barrio, .
"New Revelations about Unemployment Persistence in Spain ,"
Faculty Working Papers
10/06, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Markus Mentz, & Steffen P. Sebastian, 2003.
"Inflation convergence after the introduction of the Euro ,"
CFS Working Paper Series
2003/30, Center for Financial Studies.
[Downloadable!]
Basher, Syed A. & Westerlund, Joakim, 2006.
"Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models ,"
MPRA Paper
136, University Library of Munich, Germany.
[Downloadable!]
Other versions: Frank Strobel, 2004.
"Leaving EMU: a real options perspective ,"
Money Macro and Finance (MMF) Research Group Conference 2004
83, Money Macro and Finance Research Group.
[Downloadable!]
Other versions: Badi H. Baltagi & Chihwa Kao, 2000.
"Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey ,"
Center for Policy Research Working Papers
16, Center for Policy Research, Maxwell School, Syracuse University.
[Downloadable!]
Tsyplakov Alexander, 2001.
"Does Lower Inflation Imply Lower Price Uncertainty? ,"
EERC Working Paper Series
2k-06e, EERC Research Network, Russia and CIS.
[Downloadable!]
Österholm, Pär, 2003.
"The Taylor Rule: A Spurious Regression? ,"
Working Paper Series
2003:20, Uppsala University, Department of Economics.
[Downloadable!]
Access and
download statistics Did you know? A tutorial is available.
This page was last updated on 2008-8-28.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .