U.S. and U.K. Inflation: Evidence on Structural Change in the Order of Integration

Robert Sollis

Economic Papers from Trinity College Dublin, Economics Department

Abstract: We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957. Under the alternative hypothesis the test allows for structural change from level-stationarity to difference stationarity. For both countries the hypothesis of a unit root is rejected and it is estimated that rapid structural change began in 1970:6 in U.K. inflation and 1973:6 in U.S. inflation.

JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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