Inflation and Breaks: the validity of the Dickey-Fuller test
Ventosa-Santaularària, Daniel and
Authors registered in the RePEc Author Service: Daniel Ventosa-Santaulària ()
MPRA Paper from University Library of Munich, Germany
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)
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)
https://mpra.ub.uni-muenchen.de/58773/1/MPRA_paper_58773.pdf original version (application/pdf)
Working Paper: Inflation and breaks: the validity of the Dickey-Fuller test (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58773
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 ().