Premium
Is there a unit root in the inflation rate? Evidence from sequential break and panel data models
Author(s) -
Culver Sarah E.,
Papell David H.
Publication year - 1997
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/(sici)1099-1255(199707)12:4<435::aid-jae430>3.0.co;2-1
Subject(s) - unit root , inflation (cosmology) , panel data , economics , econometrics , unit (ring theory) , structural break , root (linguistics) , unit root test , cointegration , mathematics , physics , mathematics education , theoretical physics , linguistics , philosophy
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.