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Inflation Persistence in Nine Latin American Countries: Panel SURKSS Test with a Fourier Function

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  • Yanli LI, Hongfeng PENG

    (School of Economics and Management, Wuhan University, China.)

  • Hongfeng PENG

    (School of Economics and Management, Wuhan University, China.)

Abstract

This study employs the panel seeming unrelated regression of the Kapetanios-Shin- Snell (SURKSS) test with a Fourier function to investigate the inflation persistence in Nine Latin American Countries over the period of January 1993-January 2012. The empirical results from the univariate unit root and panel-based unit root tests indicate that the inflation rates are non-stationary in these nine countries under study. However, the panel SURKSS test with a Fourier function rejects the null hypothesis of a unit root in Argentina, Dominica, Grenada, Mexico, Saint Lucia and Saint Vincent and the Grenadines, while accepting the non-stationarity in other three countries(Chile, Columbia and Costa Rica). We conclude that, among the selected nine Latin American countries, inflation rates of Chile, Columbia and Costa Rica demonstrate high levels of persistence which implies the permanent influence of external shocks on Chile, Columbia and Costa Rica.

Suggested Citation

  • Yanli LI, Hongfeng PENG & Hongfeng PENG, 2013. "Inflation Persistence in Nine Latin American Countries: Panel SURKSS Test with a Fourier Function," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 132-143, October.
    • Handle: RePEc:rjr:romjef:v::y:2013:i:3:p:132-143
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    More about this item

    Keywords

    inflation persistence; panel SURKSS test; Fourier function; Latin American Countries;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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