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New panel tests to assess inflation persistence

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Author Info

  • Roy Cerqueti

    (University of Macerata)

  • Mauro Costantini

    (University of Vienna)

  • Luciano Gutierrez

    (University of Sassari)

Abstract

In this paper we propose new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limiting distributions of the tests under the hypothesis of cross-sectional independence are derived. Cross-sectional dependence is also considered. The tests are applied to the in�ation rates of 19 OECD countries over the period 1972-2008. Evidence of a change in persistence from I(1) to I(0) is found for a set of these countries

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Bibliographic Info

Paper provided by Macerata University, Department of Finance and Economic Sciences in its series Working Papers with number 54-2009.

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Date of creation: Oct 2009
Date of revision: Oct 2009
Handle: RePEc:mcr:wpdief:wpaper00054

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Keywords: Panel data; Persistence; Stationarity;

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