Properties of two U.S. inflation measures (1985-2005)

Eva Vicente Martínez

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Analyses are presented of 84 quarterly observations 1/85-4/05 on two U.S. index numbers of nominal prices often employed to measure inflation. Analyses are designed to answer two key questions of interest to macroeconomists. Is inflation stationary (I(0)) or stochastically non-stationary (I(1))? If it is I(1), is it scalar or multivariate? Both measures of inflation are found clearly to be I(1) and, for these measures, inflation is found clearly to be scalar. The paper also illustrates univariate analysis procedures (and report standards) considered to be more effective and convincing than those found in the existing literature on inflation measures.

Date: 2006-12
New Economics Papers: this item is included in nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws066818

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