✦ LIBER ✦
Is there a unit root in the inflation rate? Evidence from sequential break and panel data models
✍ Scribed by Sarah E. Culver; David H. Papell
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 144 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0883-7252
No coin nor oath required. For personal study only.
✦ Synopsis
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the in¯ation rates of thirteen OECD countries. With individual country tests, we ®nd 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 in¯ation is very fragile to even a small amount of cross-section variation. # 1997