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

journal contribution
posted on 2010-05-01, 00:00 authored by Paresh Narayan, S Narayan
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.

History

Journal

Applied economics

Volume

42

Issue

13

Pagination

1661 - 1670

Publisher

Informa Healthcare

Location

London, England

ISSN

0003-6846

eISSN

1466-4283

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2010, Taylor & Francis

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