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An empirical note about additive outliers and nonstationarity in Latin-American inflation series

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Author Info
Gabriel Rodríguez ()

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Abstract

This note shows the empirical dangers of the presence of large additive outliers when testing for unit roots using standard unit root statistics. Using recent proposed procedures applied to four Latin-American inflation series, I show that the unit root hypothesis cannot be rejected. Copyright Springer-Verlag 2004

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File URL: http://hdl.handle.net/10.1007/s00181-003-0172-6
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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 29 (2004)
Issue (Month): 2 (05)
Pages: 361-372
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Handle: RePEc:spr:empeco:v:29:y:2004:i:2:p:361-372

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Related research
Keywords: Additive outliers; unit root; M-tests; ADF test; GLS detrended data; inflation;

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  1. Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú. [Downloadable!]
  2. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, International Atlantic Economic Society, vol. 33(4), pages 461-471, December. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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