New panel tests to assess inflation persistence

Roy Cerqueti, Mauro Costantini and Luciano Gutierrez

No 54-2009, Working Papers from Macerata University, Department of Finance and Economic Sciences

Abstract:

In this paper we propose new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0), and in an unknown direction. The limiting distributions of the tests under the hypothesis of cross-sectional independence are derived. Cross-sectional dependence is also considered. The tests are applied to the in°ation rates of 19 OECD countries over the period 1972-2008. Evidence of a change in persistence from I(1) to I(0) is found for a set of these countries

Keywords: Panel data; Persistence; Stationarity (search for similar items in EconPapers)
JEL-codes: C12 C23 (search for similar items in EconPapers)
Date: 2009-10, Revised 2009-10
New Economics Papers: this item is included in nep-cba and nep-ecm
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Citations: View citations in EconPapers (1)

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