Structural instability of US inflation persistence

Abstract

The article employs recently developed unknown break tests to characterize the nature of structural instability in inflation persistence and find multiple structural breaks in the persistence of six major US inflation series.

Acknowledgements

The author gratefully acknowledges the helpful comments from Professor Denise R. Osborn and seminar participants at the University of Manchester and Renmin University of China. The author also acknowledges research support from Renmin University of China, with Grant Number 06XNB003.

Notes

¹ Note that we do not use Bai and Perron (2003) multiple break test procedure since Hansen (2000) has shown that Exp Wald test is preferred in AR models.