New panel tests to assess inflation persistence
AbstractIn 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 InfoPaper provided by Macerata University, Department of Finance and Economic Sciences in its series Working Papers with number 54-2009.
Date of creation: Oct 2009
Date of revision: Oct 2009
Panel data; Persistence; Stationarity;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-24 (All new papers)
- NEP-CBA-2009-10-24 (Central Banking)
- NEP-ECM-2009-10-24 (Econometrics)
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