Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks

Narayan, Paresh Kumar and Narayan, Seema 2010, Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks, Applied economics, vol. 42, no. 13, pp. 1661-1670.

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Title Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks
Author(s) Narayan, Paresh Kumar
Narayan, Seema
Journal name Applied economics
Volume number 42
Issue number 13
Start page 1661
End page 1670
Total pages 10
Publisher Informa Healthcare
Place of publication London, England
Publication date 2010-05
ISSN 0003-6846
1466-4283
Summary In this article, we examine whether or not the inflation rate for 17 OECD countries can be modelled as a stationary process. We find that (1) conventional univariate unit root tests without any structural breaks generally reveal that the inflation rate contains a unit root; (2) the KPSS univariate test with multiple structural breaks reveals that for 10 out of 17 countries inflation is stationary; and (3) the KPSS panel unit root test reveals strong evidence for stationarity of the inflation rate for panels consisting of countries which were declared nonstationary by univariate tests.
Language eng
Field of Research 140207 Financial Economics
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2010, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024677

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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