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U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration

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  • R. Sollis

Abstract

We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957. Under the alternative hypothesis the test allows for structural change from level-stationarity to difference stationarity. For both countries the hypothesis of a unit root is rejected and it is estimated that rapid structural change began in 1970:6 in U.K. inflation and 1973:6 in U.S. inflation.

Suggested Citation

  • R. Sollis, 2001. "U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration," Trinity Economics Papers 20012, Trinity College Dublin, Department of Economics.
  • Handle: RePEc:tcd:tcduee:20012
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    File URL: http://www.tcd.ie/Economics/TEP/2001_papers/tepno2RS21.PDF
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    1. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 3-24, January.
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    1. repec:sbe:breart:v:29:y:2009:i:1:a:2693 is not listed on IDEAS

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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