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An application of a new seasonal unit root test to inflation

  • Narayan, Paresh Kumar
  • Popp, Stephan

In this paper, we apply the modified seasonal unit root test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal unit root in Canada's inflation rate, a semi-annual unit root in Germany's inflation rate, and no seasonal unit root at the annual frequency for any of the G7 countries.

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Article provided by Elsevier in its journal International Review of Economics & Finance.

Volume (Year): 20 (2011)
Issue (Month): 4 (October)
Pages: 707-716

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Handle: RePEc:eee:reveco:v:20:y:2011:i:4:p:707-716
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