Is there a unit root in the inflation rate? evidence from sequential break and panel data models
Sarah E. Culver,David H. Papell +1 more
272
TL;DR: Using sequential trend break and panel data models, this paper investigated the unit root hypothesis for the inflation rates of thirteen OECD countries and found evidence of stationarity in only four of the thirteen countries.
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Abstract: SUMMARY Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we find evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data model. We can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries. The non-rejection of the unit root hypothesis for inflation is very fragile to even a small amount of cross-section variation. #1997 John Wiley & Sons, Ltd.
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Searching for stationarity: Purchasing power parity under the current float
TL;DR: In this paper, the authors investigate long-run purchasing power parity by testing for unit roots in real exchange rates of industrial countries under the current float, and find that accounting for serial correlation considerably weakens the evidence against the unit root null hypothesis.
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•Posted Content
Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
TL;DR: In this paper, asymptotic distributions for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions are developed for real postwar output from seven DECO countries.
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The Fisher hypothesis and the forecastability and persistence of inflation
Robert Barsky,Robert Barsky +1 more
TL;DR: For the period 1860 to 1939, the simple correlation of the U.S. commercial paper rate with the contemporaneous inflation rate is −0.17 as discussed by the authors and the corresponding correlation for the period 1950 to 1979 is 0.71.
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Exploiting cross section variation for unit root inference in dynamic data
TL;DR: In this paper, the authors consider unit root regressions in data having simultaneously extensive cross-section and time-series variation and show that the standard least squares estimators in such data structures turn out to be the best estimators.
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