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Is inflation stationary?

Author

Listed:
  • Wojciech Charemza
  • Daniela Hristova
  • Peter Burridge

Abstract

Ninety-three world-wide inflation series are tested for unit roots. Treating the data series' innovations as draws from a symmetric stable distribution, with possibly infinite variance, reduces the number that appear stationary.

Suggested Citation

  • Wojciech Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 901-903.
    • Handle: RePEc:taf:applec:v:37:y:2005:i:8:p:901-903
    DOI: 10.1080/00036840500076721
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    References listed on IDEAS

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    1. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Universite de Montreal, Departement de sciences economiques.
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    5. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
    6. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    7. Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(1), pages 44-62, March.
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