Changements Structurels dans la Dynamique de l'Inflation aux Etats-Unis: Approches Non Paramétriques

Ibrahim Ahmada and Mohamed Ben Aissa ()

Annals of Economics and Statistics, 2005, issue 77, 157-172

Abstract: This paper re-examines the inflation dynamics in the United States by using two methods of analysis of data fluctuation. Our aim is to detect the various of change points in the inflationary process. The two used approaches are non-parametric and do not privilege a priori any modeling. The first method is based on the stability of the spectral density of the data (Priestley [1965] and [1996]). The second approach calls upon an iterative algorithm proposed by Inclan and Tiao [1994]. Our obtained results seem to be very significant since the two approaches detect almost the same dates of structural change points. They also indicate that the inflation process considerably changed since the end of the Second World War. These structural breaks are characterized by movements of midium and short term in the year 1975 and of long term started since the year 1981. We observe some stabilization since the year 1981 in spite of momentary disturbances in 1990.

Date: 2005
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Related works:
Working Paper: Changements Structurels dans la Dynamique de l'Inflation aux États-Unis: Approches Non Paramétriques (2005)
Working Paper: Changements Structurels dans la Dynamique de l'Inflation aux États-Unis: Approches Non Paramétriques (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2005:i:77:p:157-172

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