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An application of a new seasonal unit root test to inflation

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  • Narayan, Paresh Kumar
  • Popp, Stephan

Abstract

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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  • Narayan, Paresh Kumar & Popp, Stephan, 2011. "An application of a new seasonal unit root test to inflation," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 707-716, October.
  • Handle: RePEc:eee:reveco:v:20:y:2011:i:4:p:707-716
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    Cited by:

    1. Smyth, Russell & Narayan, Paresh Kumar, 2015. "Applied econometrics and implications for energy economics research," Energy Economics, Elsevier, vol. 50(C), pages 351-358.
    2. Narayan, Paresh Kumar, 2014. "Response of inflation to shocks: New evidence from Sub-Saharan African countries," Economic Modelling, Elsevier, vol. 36(C), pages 378-382.
    3. Shyh-Wei Chen & Chi-Sheng Hsu & Cyun-Jhen Pen, 2016. "Are Inflation Rates Mean-reverting Processes? Evidence from Six Asian Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(1), pages 119-155, February.
    4. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.
    5. repec:eee:riibaf:v:42:y:2017:i:c:p:1089-1095 is not listed on IDEAS
    6. Valadkhani, Abbas, 2014. "Switching impacts of the output gap on inflation: Evidence from Canada, the UK and the US," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 270-285.
    7. García-Cintado, Alejandro & Romero-Ávila, Diego & Usabiaga, Carlos, 2015. "Can the hysteresis hypothesis in Spanish regional unemployment be beaten? New evidence from unit root tests with breaks," Economic Modelling, Elsevier, vol. 47(C), pages 244-252.
    8. repec:eee:ecmode:v:70:y:2018:i:c:p:429-437 is not listed on IDEAS

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