Economics at your fingertips  

Inflation and Breaks: the validity of the Dickey-Fuller test

Daniel Ventosa-Santaularària and Manuel Gómez-Zaldívar
Authors registered in the RePEc Author Service: Daniel Ventosa-Santaulària

MPRA Paper from University Library of Munich, Germany

Abstract: This article proves the asymptotic efficiency of the Dickey Fuller (DF) test when the Data Generating Process of the variable under consideration is in fact mean stationary with breaks. Monte Carlo simulations show that asymptotic properties remain valid for sample sizes of practical interest. We illustrate its performance by studying inflation rate series, a variable that should be stationary if the monetary authority follows an effective inflation targeting regime: shocks are short-lived, therefore, inflation fluc- tuates randomly around pre-specified targets.

Keywords: Dickey-Fuller test; Mean Stationary Process; Structural Breaks. (search for similar items in EconPapers)
JEL-codes: C12 C22 E31 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Brazilian Review of Econometrics 1.29(2009): pp. 1-14

Downloads: (external link) original version (application/pdf)

Related works:
Working Paper: Inflation and breaks: the validity of the Dickey-Fuller test (2007) Downloads
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:

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 ().

Page updated 2023-05-17
Handle: RePEc:pra:mprapa:58773