Changes in the order of integration of US and UK inflation
AbstractEmploying the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s.
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Date of creation: 2007
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- Halunga, Andreea G. & Osborn, Denise R. & Sensier, Marianne, 2009. "Changes in the order of integration of US and UK inflation," Economics Letters, Elsevier, vol. 102(1), pages 30-32, January.
- NEP-ALL-2008-02-09 (All new papers)
- NEP-CBA-2008-02-09 (Central Banking)
- NEP-MAC-2008-02-09 (Macroeconomics)
- NEP-MON-2008-02-09 (Monetary Economics)
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