This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or <UEQN LOC="INLINE" NOTAT="TEX">$\widehat{Z}_{\alpha}$</UEQN>) with a system-based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With...</ueqn>

Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the...