Changes in the order of integration of US and UK inflation
Employing the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2007|
|Contact details of provider:|| Postal: Manchester M13 9PL|
Phone: (0)161 275 4868
Fax: (0)161 275 4812
Web page: http://www.socialsciences.manchester.ac.uk/subjects/economics/
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.:
- Filippo Altissimo & Laurent Bilke & Andrew Levin & Thomas Mathä & Benoit Mojon, 2006. "Sectoral and Aggregate Inflation Dynamics in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 585-593, 04-05.
- James H. Stock & Mark W. Watson, 2001.
"Forecasting Output and Inflation: The Role of Asset Prices,"
NBER Working Papers
8180, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
- James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006.
"Testing for a change in persistence in the presence of non-stationary volatility,"
06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008. "Testing for a change in persistence in the presence of non-stationary volatility," Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
- Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
- Stephen Cecchetti & Guy Debelle, 2005.
"Has the inflation process changed?,"
BIS Working Papers
185, Bank for International Settlements.
- 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.
- Wojciech Charemza & Daniela Hristova & Peter Burridge, 2005. "Is inflation stationary?," Applied Economics, Taylor & Francis Journals, vol. 37(8), pages 901-903.
- Sainan Jin & Peter C.B. Phillips, 2002.
"The KPSS Test with Seasonal Dummies,"
Cowles Foundation Discussion Papers
1373, Cowles Foundation for Research in Economics, Yale University.
- Bai, Jushan, 1997.
"Estimating Multiple Breaks One at a Time,"
Cambridge University Press, vol. 13(03), pages 315-352, June.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2006.
"Modified tests for a change in persistence,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 441-469, October.
- 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.
- BAI, Jushan & PERRON, Pierre, 1998.
"Computation and Analysis of Multiple Structural-Change Models,"
Cahiers de recherche
9807, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
- Timothy J. Vogelsang, 1998. "Trend Function Hypothesis Testing in the Presence of Serial Correlation," Econometrica, Econometric Society, vol. 66(1), pages 123-148, January.
- Martin Evans & Paul Wachtel, 1993. "Inflation regimes and the sources of inflation uncertainty," Proceedings, Federal Reserve Bank of Cleveland, pages 475-520.
- D R Osborn & M Sensier, 2004. "Modelling UK Inflation: Persistence, Seasonality and Monetary Policy," Centre for Growth and Business Cycle Research Discussion Paper Series 46, Economics, The Univeristy of Manchester.
When requesting a correction, please mention this item's handle: RePEc:man:sespap:0715. 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: (Marianne Sensier)
If references are entirely missing, you can add them using this form.