Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI

Mohammad Naim Azimi ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the official website of National Bureau of Economic Research. The testing procedure includes fitted OLS regression on which the Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) unit root test are computed. The statistical analysis of both ADF and PP exhibit a smaller test statistic value for CPI than the critical value at 0.05 which means that CPI is not generated from a stationary process and it follows unit root at level, though, it does not follow unit root and it is stationary at its first difference. Therefore, we reject the null hypothesis in favor of the alternative.

Keywords: CPI; Unit Root; Stationary Process; Augmented Dickey Fuller; Philips-Perron (search for similar items in EconPapers)
JEL-codes: C1 C12 C41 (search for similar items in EconPapers)
Date: 2015-10-11, Revised 2016-01-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in International Journal of Management and Commerce Innovations 2.3(2016): pp. 329-335

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/69518/1/MPRA_paper_69518.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:69518

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().