Inflation persistence, structural breaks and omitted variables: a critical view
Recent empirical contributions assess time changes in inflation persistence by means of simple autoregressive models. Their reliability is discussed in the light of the econometric literature on model misspecification and it is showed that their results can be misleading due to the omission of relevant variables.
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- Siu Fai Leung & Shihti Yu, 2001. "The sensitivity of the RESET tests to disturbance autocorrelation in regression analysis," Empirical Economics, Springer, vol. 26(4), pages 721-726.
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"Is inflation persistence intrinsic in industrial economies?,"
2002-023, Federal Reserve Bank of St. Louis.
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