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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- 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.
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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.
- Andrew T. Levin & Jeremy M. Piger, 2003.
"Is inflation persistence intrinsic in industrial economies?,"
2002-023, Federal Reserve Bank of St. Louis.
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- 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.
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- 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.
- 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.
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- 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.
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