Is there Really a Unit Root in the Inflation Rate? More Evidence from Panel Data Models

Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997) find that inflation is stationary. In this paper, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for crosssectional dependence and structural change.

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Year of publication:	2006
Authors:	Basher, Syed A. ; Westerlund, Joakim
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Unit Root \| Inflation \| Cross-Sectional Dependence \| Structural Change

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005789726