ARCH and structural breaks in United States inflation
United States Phillips curves are routinely estimated without accounting for the shifts in mean inflation. As a result we may expect the standard estimates of Phillips curves to be biased and suffer from ARCH. We demonstrate this is indeed the case. We also demonstrate that once the shifts in mean inflation are accounted for the ARCH is largely eliminated in the estimated model and the model defining expected rate of inflation in the New Keynesian model plays no significant role in the dynamics of inflation.
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| Length: | 18 pages |
| Date of creation: | Oct 2013 |
| Date of revision: | |
| Handle: | RePEc:dun:dpaper:277 |
| Contact details of provider: | Postal: Dundee, DD1 4HN Phone: (01382) 344375 Fax: (01382) 344691 Web page: http://www.dundee.ac.uk/econman/ Email: More information through EDIRC
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