Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models
AbstractTime series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this paper, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for crosssectional dependence and structural change.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 136.
Date of creation: 2006
Date of revision:
Unit Root; Inflation; Cross-Sectional Dependence; Structural Change;
Other versions of this item:
- Syed Basher & Joakim Westerlund, 2007. "Is there really a unit root in the inflation rate? More evidence from panel data models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 161-164.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-14 (All new papers)
- NEP-CBA-2006-10-14 (Central Banking)
- NEP-ETS-2006-10-14 (Econometric Time Series)
- NEP-MAC-2006-10-14 (Macroeconomics)
- NEP-MON-2006-10-14 (Monetary Economics)
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