The Relationship between the Markup and Inflation in the G7 plus One Economies
An I(2) analysis of inflation and the markup is undertaken for the G7 economies and Australia. We find that the levels of prices and costs are best described as I(2) processes and that except for Japan a linear combination of the log levels or prices and costs cointegrate to the markup that is integrated of order 1.
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|Date of creation:||2000|
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Web page: http://www.eui.eu/ECO/
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- Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
- Niels Haldrup, 1998. "An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 595-650, December.
- repec:cup:etheor:v:8:y:1992:i:2:p:188-202 is not listed on IDEAS
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
- Gregoir, Stephane & Laroque, Guy, 1994. "Polynomial cointegration estimation and test," Journal of Econometrics, Elsevier, vol. 63(1), pages 183-214, July.
- Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
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