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New panel tests to assess inflation persistence

Author

Listed:
  • Roy Cerqueti

    (University of Macerata)

  • Mauro Costantini

    (University of Vienna)

  • Luciano Gutierrez

    (University of Sassari)

Abstract

In this paper we propose new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limiting distributions of the tests under the hypothesis of cross-sectional independence are derived. Cross-sectional dependence is also considered. The tests are applied to the in°ation rates of 19 OECD countries over the period 1972-2008. Evidence of a change in persistence from I(1) to I(0) is found for a set of these countries

Suggested Citation

  • Roy Cerqueti & Mauro Costantini & Luciano Gutierrez, 2009. "New panel tests to assess inflation persistence," Working Papers 54-2009, Macerata University, Department of Finance and Economic Sciences, revised Oct 2009.
  • Handle: RePEc:mcr:wpdief:wpaper00054
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    References listed on IDEAS

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    Cited by:

    1. Nicholas Apergis & Christina Christou & James E. Payne & James W. Saunoris, 2015. "The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(1), pages 202-213, January.

    More about this item

    Keywords

    Panel data; Persistence; Stationarity;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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