Nonstationarity and nonlinearity in inflation rate: Some further evidence

Augustine C. Arize and John Malindretos

International Review of Economics & Finance, 2012, vol. 24, issue C, 224-234

Abstract: In this study, we investigate the time series properties of the inflation rate in all countries in Africa. In order to gauge whether the inflation rate is nonstationary or stationary, we employ: (i) two linear unit root tests based on different null hypotheses and (ii) nonlinear ESTAR-type unit root tests based on symmetric and asymmetric adjustments toward PPP. In addition, we use two methods to search for common stochastic trends between each African country's inflation rate and the inflation rate of the United States or the United Kingdom. The results provide vast evidence of nonstationarity and cointegration.

Keywords: Africa; Nonstationality; Cointegration (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:24:y:2012:i:c:p:224-234

DOI: 10.1016/j.iref.2012.02.002

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