U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration

We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957. Under the alternative hypothesis the test allows for structural change from level-stationarity to difference stationarity. For both countries the hypothesis of a unit root is rejected and it is estimated that rapid structural change began in 1970:6 in U.K. inflation and 1973:6 in U.S. inflation.

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Year of publication:	2001
Authors:	Sollis, R.
Institutions:	Department of Economics, Trinity College Dublin

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Extent:	application/pdf
Series:	Trinity Economics Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	E31 - Price Level; Inflation; Deflation ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005345857