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Properties Of Two U.S. Inflation Measures (1985-2005)

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Eva Vicente Martinez ()
Abstract

Analyses are presented of 84 quarterly observations 1/85-4/05 on two U.S. index numbers of nominal prices often employed to measure inflation. Analyses are designed to answer two key questions of interest to macroeconomists. Is inflation stationary (I(0)) or stochastically non-stationary (I(1))? If it is I(1), is it scalar or multivariate? Both measures of inflation are found clearly to be I(1) and, for these measures, inflation is found clearly to be scalar. The paper also illustrates univariate analysis procedures (and report standards) considered to be more effective and convincing than those found in the existing literature on inflation measures.

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws066818.

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Date of creation: Dec 2006
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Handle: RePEc:cte:wsrepe:ws066818

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