New panel tests to assess inflation persistence

<font face="CMR9" size="1"><font face="CMR9" size="1">In this paper we propose new panel tests to detect changes in persistence. The test statisticsare used to test the null hypothesis of stationarity against the alternative of a change inpersistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limitingdistributions of the tests under the hypothesis of cross-sectional independence are derived.Cross-sectional dependence is also considered. The tests are applied to the in°ation rates of19 OECD countries over the period 1972-2008. Evidence of a change in persistence from I(1)to I(0) is found for a set of these countries</font></font>