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.
|Date of creation:||2008|
|Contact details of provider:|| Web page: https://www.bul.sbu.usi.ch|
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.:
- Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2006. "Empirical size and power of some diagnostic tests applied to a distributed lag model," Empirical Economics, Springer, vol. 31(3), pages 631-643, September.
- Dimitris Hatzinikolaou & Athanassios Stavrakoudis, 2005. "A New Variant of RESET for Distributed Lag Models," Economics Bulletin, AccessEcon, vol. 3(56), pages 1-4.
- Thursby, Jerry G, 1982. "Misspecification, Heteroscedasticity, and the Chow and Goldfeld-Quandt Tests," The Review of Economics and Statistics, MIT Press, vol. 64(2), pages 314-21, May.
- Levin, Andrew T. & Piger, Jeremy M., 2004.
"Is inflation persistence intrinsic in industrial economies?,"
Working Paper Series
0334, European Central Bank.
- Andrew T. Levin & Jeremy M. Piger, 2003. "Is inflation persistence intrinsic in industrial economies?," Working Papers 2002-023, Federal Reserve Bank of St. Louis.
- Andrew Levin & Jeremy Piger, 2003. "Is Inflation Persistence Intrinsic in Industrial Economies?," Computing in Economics and Finance 2003 298, Society for Computational Economics.
- Gadzinski, Gregory & Orlandi, Fabrice, 2004. "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series 0414, European Central Bank.
- Luca Benati, 2007. "The Time-Varying Phillips Correlation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(5), pages 1275-1283, 08.
- MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-46, March.
- Dezhbakhsh, Hashem, 1990. "The Inappropriate Use of Serial Correlation Tests in Dynamic Linear Models," The Review of Economics and Statistics, MIT Press, vol. 72(1), pages 126-32, February.
- Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips curve," Staff Reports 270, Federal Reserve Bank of New York.
- 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.
- Godfrey, Leslie G, 1987. "Discriminating between Autocorrelation and Misspecification in," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 128-34, February.
- Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," Review of Economic Studies, Oxford University Press, vol. 53(2), pages 241-261.
When requesting a correction, please mention this item's handle: RePEc:lug:wpaper:0802. 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: (Alessio Tutino)
If references are entirely missing, you can add them using this form.