Inflation and breaks: the validity of the Dickey-Fuller test
This article proves the asymptotic efficiency of the Dickey Fuller (DF) test when the Data Generating Process of the variable under consideration is in fact mean stationary with breaks. Monte Carlo simulations show that asymptotic properties remain valid for sample sizes of practical interest. We illustrate its performance by studying inflation rate series, a variable that should be stationary if the monetary authority follows an effective inflation targeting regime: shocks are short-lived, therefore, inflation fluctuates randomly around pre-specified targets.
|Date of creation:||Jun 2007|
|Contact details of provider:|| Postal: UCEA-Campus Marfil, Fracc. I, El Establo, Guanajuato GTO 36250|
Phone: [+52 473] 735 2925 x-2925
Fax: [+52 473] 735 2925 x-2925
Web page: http://economia.ugto.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, Peter C B & Xiao, Zhijie, 1998.
" A Primer on Unit Root Testing,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 12(5), pages 423-469, December.
- Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
- Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
- Syed Basher & Joakim Westerlund, 2007. "Is there really a unit root in the inflation rate? More evidence from panel data models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 161-164.
- Basher, Syed A. & Westerlund, Joakim, 2006. "Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models," MPRA Paper 136, University Library of Munich, Germany.
- Daniel Chiquiar & Antonio Noriega & Manuel Ramos-Francia, 2010. "A time-series approach to test a change in inflation persistence: the Mexican experience," Applied Economics, Taylor & Francis Journals, vol. 42(24), pages 3067-3075.
- Manuel Ramos Francia & Daniel Chiquiar & Antonio E. Noriega, 2007. "Time Series Approach to Test a Change in Inflation Persistence: The Mexican Experience," Working Papers 2007-01, Banco de México.
- Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Andros Gregoriou & Alexandros Kontonikas, 2006. "Inflation Targeting And The Stationarity Of Inflation: New Results From An Estar Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 58(4), pages 309-322, October.
- Andros Gregoriou & Alexandros Kontonikas, 2005. "Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test," Working Papers 2005_10, Business School - Economics, University of Glasgow.
- Antonio E. Noriega & Daniel Ventosa-Santaulària, 2006. "Spurious Regression Under Broken-Trend Stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 671-684, 09.
- Daniel Ventosa-Santaularia & Antonio E. Noriega, 2005. "Spurious regression under broken trend stationarity," Computing in Economics and Finance 2005 186, Society for Computational Economics.
- Noriega, Antonio E. & Ventosa Santaulària, Daniel, 2005. "Spurious regression under broken trend stationarity," MPRA Paper 58768, University Library of Munich, Germany.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2005. "Spurious regression under broken trend stationarity," Department of Economics and Finance Working Papers EM200501, Universidad de Guanajuato, Department of Economics and Finance.
- A. M. Robert Taylor, 2005. "Fluctuation Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 207-230, 04.
- Tae-Hwan Kim & Stephen Leybourne & Paul Newbold, 2004. "Behaviour of Dickey-Fuller Unit-Root Tests Under Trend Misspecification," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 755-764, 09.
- Steve Leybourne & Tae-Hwan Kim & Paul Newbold, 2003. "Behaviour of Dickey-Fuller Unit Root Tests Under Trend Misspecification," Econometrics 0311008, EconWPA.
- Culver, Sarah E & Papell, David H, 1997. "Is There a Unit Root in the Inflation Rate? Evidence from Sequential Break and Panel Data Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(4), pages 435-444, July-Aug..
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a Change in Persistence in the Presence of a Volatility Shift," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 761-781, December.
- Kim, Tae-Hwan & Lee, Young-Sook & Newbold, Paul, 2004. "Spurious regressions with stationary processes around linear trends," Economics Letters, Elsevier, vol. 83(2), pages 257-262, May. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:gua:wpaper:em200601. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Luis Sanchez Mier)
If references are entirely missing, you can add them using this form.