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Structural breaks in the U.S. inflation process: a further investigation

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  • J. Jouini
  • M. Boutahar

Abstract

The selection procedure of Bai and Perron (Econometrica, 1998, 66, 47-78), based on a sequence of tests for multiple structural changes, is used to explore the empirical evidence of the instability by selecting the number of breaks and their locations for the post-war monthly U.S. inflation rate. The obtained results indicate that the U.S. inflation process is unstable after June 1982 as there is a break at the beginning of the 1990s. This conclusion contradicts that of Ben Aissa and Jouini (Applied Economics Letters, 2003, 10, 633-6), who show that using some information criteria, the evolution curve of U.S. inflation was flattened during the last 20 years, making the process stable. Hence this points to the fact that the procedure used is more powerful than the information criteria in detecting changes.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 15 ()
Pages: 985-988

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Handle: RePEc:taf:apeclt:v:10:y:2003:i:15:p:985-988

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References

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  1. Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(03), pages 315-352, June.
  3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
  4. Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, 06.
  5. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
  6. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  7. Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
  8. Mohamed Safouane Ben Aissa & Jamel Jouini, 2003. "Structural breaks in the US inflation process," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 633-636.
  9. repec:cup:etheor:v:13:y:1997:i:3:p:315-52 is not listed on IDEAS
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Citations

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Cited by:
  1. Mustapha Belkhouja & Mohamed Boutahar, 2009. "Structural Change and Long Memory in the Dynamic of U.S. Inflation Process," Computational Economics, Society for Computational Economics, vol. 34(2), pages 195-216, September.
  2. Dong Jin Lee, 2009. "Testing Parameter Stability in Quantile Models: An Application to the U.S. Inflation Process," Working papers 2009-26, University of Connecticut, Department of Economics.
  3. Dağdeviren, Sengül & Ogus Binatli, Ayla & Sohrabji, Niloufer, 2011. "Misalignment under different exchange rate regimes: the case of Turkey," MPRA Paper 46774, University Library of Munich, Germany.
  4. Jeddy, Mohamed & Larue, Bruno, 2012. "Mergers, concurrent marketing mechanisms and the performance of sequential auctions," Working Papers 126945, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
  5. Jamel Jouini, 2006. "Bootstrap Tests in Bivariate VAR Process with Single Structural Change : Power versus Corrected Size and Empirical Illustration," Working Papers halshs-00410759, HAL.
  6. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print halshs-00550460, HAL.
  7. Dong Jin Lee & Jai Hyung Yoon, 2012. "The New Keynesian Phillips Curves in Multiple Quantiles and the Asymmetry of Monetary Policy," Working papers 2012-03, University of Connecticut, Department of Economics.
  8. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, vol. 22(3), pages 391-422, May.

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