Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we find evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data model. We can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries. The non-rejection of the unit root hypothesis for inflation is very fragile to even a small amount of cross-section variation. @ 1997 John Wiley & Sons, Ltd.
Volume (Year): 12 (1997)
Issue (Month): 4 (July-Aug.)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/0883-7252/|
|Order Information:|| Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252 Email: |
This item is featured on the following reading lists or Wikipedia pages:
When requesting a correction, please mention this item's handle: RePEc:jae:japmet:v:12:y:1997:i:4:p:435-44. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.