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Non-Stationary Inflation and Panel Estimates of United States Short and Long-run Phillips curves

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Author Info
Bill Russell

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Abstract

This paper argues that because United States inflation has been nonstationary over the past 5 decades the body of empirical research that proceeds assuming explicitly or implicitly that inflation is stationary with constant mean is largely invalid. Using 50 years of US inflation data the standard results in the Phillips curve literature are shown to be due to unaccounted shifts in the mean rates of inflation over the period. We then proceed to estimate short and long-run Phillips curves for the United States using time series panel data techniques which account for these shifts in mean.

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Paper provided by University of Dundee, Economic Studies in its series Discussion Papers with number 200.

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Length: 43 pages
Date of creation: May 2007
Date of revision:
Handle: RePEc:dun:dpaper:200

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Related research
Keywords: Phillips curve; inflation; panel data; non-stationary data;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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