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This paper re-investigates unit root hypotheses in inflation rates for 21 OECD countries using the newly proposed GARCH-based unit root tests with structural break and trend specifications. The results showed that classical tests over-accept unit roots in inflation rates, whereas these tests are not robust to heteroscedasticity. As observed from the pre-tests, those tests with structural break reject more null hypotheses of unit roots of most inflation series. By applying variants of GARCH-based unit root tests which include those with structural breaks and time trend regression specifications, we found that unit root tests without time trend gave most rejections of the conventional unit root. Thus, care should be taken while applying variants of the new unit root tests on weak trending time series as indicated in this work.

ANOTHER LOOK AT THE STATIONARITY OF INFLATION RATES IN OECD COUNTRIES: APPLICATION OF STRUCTURAL BREAK-GARCH-BASED UNIT ROOT TESTS