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U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration

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  • R. Sollis

Abstract

We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957. Under the alternative hypothesis the test allows for structural change from level-stationarity to difference stationarity. For both countries the hypothesis of a unit root is rejected and it is estimated that rapid structural change began in 1970:6 in U.K. inflation and 1973:6 in U.S. inflation.

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File URL: http://www.tcd.ie/Economics/TEP/2001_papers/tepno2RS21.PDF
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Bibliographic Info

Paper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number 20012.

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Date of creation: 2001
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Handle: RePEc:tcd:tcduee:20012

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Postal: Trinity College, Dublin 2
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  1. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 3-24, January.
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