References
- Altissimo , F and Corradi , V . 2003 . Strong rules for detecting the number of breaks in a time series . Journal of Econometrics , 117 : 207 – 44 .
- Andrews , DK and Chen , H-Y . 1994 . Approximately median unbiased estimation of autoregressive models . Journal of Business and Economics Statistics , 12 : 187 – 204 .
- Andrews , DK and Ploberger , W . 1994 . Optimal tests when a nuisance parameter is present only under the alternative . Econometrica , 62 : 1383 – 414 .
- Atkins , F and Chan , M . 2004 . Trend breaks and the Fisher hypothesis in Canada and the United States . Applied Economics , 36 : 1907 – 13 .
- Bai , J and Perron , P . 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
- Bai , J and Perron , P . 2000 . Multiple structural change models: a simulation analysis Unpublished Manuscript, Department of Economics, Boston University
- Bai , J and Perron , P . 2003a . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
- Bai , J and Perron , P . 2003b . Critical values for multiple structural change tests . Econometrics Journal , 6 : 72 – 8 .
- Batini , N . 2002 . Euro Area inflation persistence Working Paper 201, European Central Bank
- Batini , N and Nelson , E . 2002 . The lag from monetary policy actions to inflation: Friedman revisited Discussion Paper 6, Bank of England
- Benati , L . 2003 . Structural breaks in inflation dynamics . Computing in Economics and Finance , 169
- Bilke , L . 2004a . “ Shift in the mean and persistence of inflation: a sectoral analysis on France ” . In mimeo , Banque de France .
- Bilke , L . 2004b . “ Stylized facts on inflation regimes and economic policy in France 1972–2003 ” . In mimeo , Banque de France .
- Brainard , WC and Perry , GL . 2000 . Making policy in a changing world, economics events, ideas and policies: the 1960s and after , The Brookings Institution .
- Breusch , TS . 1978 . Testing for autocorrelation in dynamic linear models . Australian Economic Papers , 17 : 334 – 55 .
- Campos , J , Hendry , DF and Krolzig , H-M . 2003 . Consistent model selection by and automatic GETS approach . Oxford Bulletin of Economics and Statistics , 65 : 803 – 19 .
- Calvo , GA . 1983 . Staggered prices in a utility maximizing framework i, 12, 983–98
- Charemza , W , Hristova , D and Burridge , P . 2005 . Is inflation stationary? . Applied Economics , 37 : 901 – 3 .
- Cogley , T and Sargent , T . 2001 . “ Evolving, post-war II US inflation dynamics ” . In NBER Macroeconomics Annual , Edited by: Bernanke , BS and Rogoff , K . 331 – 73 . New York : National Bureau of Economic Research .
- Corvoisier , S and Mojon , B . 2004 . Breaks in the mean of inflation: how do they happen and what to do with them mimeo, European Central Bank
- Daunfeldt , S-O and Luna , X . 2001 . The efficacy and cost of regime shifts in inflation policies–evidence from New Zealand and Sweden . Applied Economics , 33 : 217 – 24 .
- Doornik , JA . 2001 . OX, An Object Oriented Matrix Programming Language , 4th , London : Timberlake Consultants Press .
- Engle , R . 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom statistics . Econometrica , 50 : 987 – 1007 .
- Fuhrer , JC and Moore , GR . 1995 . Inflation persistence . Quarterly Journal of Economics , : 127 – 59 .
- Gadzinski , G and Orlandi , F . December 2003 . Inflation Persistence for EU countries, the Euro Area and the US, presented at the IPN meeting December ,
- Garcia , R and Perron , P . 1996 . An analysis of the real interest rate under regime shifts . Review of Economics and Statistics , 78 : 111 – 25 .
- Godfrey , L . 1978 . Testing against genereal autoregressive and moving average error models when the regression includes lagged dependent variables . Econometrica , 46 : 1293 – 302 .
- Hansen , H and Doornik , JA . 1994 . A practical test for univariate and multivariate normality Nuffield College Discussion Papers, Oxford
- Hansen , BE . 1992 . Tests for parameter instability in regressions with I(1) processes . Journal of Business and Economic Statistics , 20 : 45 – 59 .
- Hendry , DF and Krolzig , H-M . 2001 . Automatic Econometric Model Selection using PcGets , London : Timberlake Consultants Press .
- Hendry , DF and Krolzig , H-M . 2003 . “ New developments in automatic general-to-specific modelling ” . In Econometrics and the Philosophy of Economics , Edited by: Stigum , BP . 379 – 419 . Princeton, NJ : Princeton University Press .
- Hendry , DF and Neale , AJ . 1991 . “ A Monte Carlo study of the effects of structural breaks on tests for unit roots ” . In Economic Structural Change Analysis and Forecasting , Edited by: Hackl , P and Westlund , AH . 95 – 119 . Berlin : Springer-Verlag .
- Hendry , DF and Santos , C . 2005 . Regression models with data-based indicator variables . Oxford Bulletin of Economics and Statistics , 67 : 571 – 95 .
- Hendry , DF and Santos , C . 2007 . Automatic tests for super exogeneity Working Papers in Economics 11, Faculdade de Economia e Gestão, Universidade Católica Portuguesa
- Kiley , MT . 2000 . Endogenous price stickiness and business cycle persistence . Journal of Money, Credit and Banking , 32 : 28 – 53 .
- Kobayashi , T . 2005 . Optimal monetary policy and the role of the hybrid inflation-price-level targets . Applied Economics , 37 : 2119 – 25 .
- Kool , CJM and Lammertsma , A . 2003 . Inflation persistence under semi-fixed exchange rate regimes: the European evidence 1974–1998 Working Paper 04-04, Utrecht School of Economics
- Levin , A and Piger , J . 2004 . Is inflation persistence intrinsic in industrial economies? Working Paper 334, European Central Bank
- Lu , M and Zheng , Z . 2003 . Exchange rate reform and its inflationary consequences: an empirical analysis for China . Applied Economics , 35 : 189 – 99 .
- Marques , CR . 2004 . Inflation persistence: facts or artefacts Working Paper 371, European Central Bank
- Nielsen , B and Johansen , S . Saturation by indicators in autoregressive models . paper presented at the Conference in Honour of David F. Hendry . Oxford http://www.economics.ox.ac.uk/hendryconference/papers.htm
- Orlandi , F . 2003 . Inflation Persistence in the Euro area and in the United States , European Central Bank Working Paper 414 .
- Perron , P . 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
- Perron , P . 1990 . Testing for a unit root in a time series with a changing mean . Journal of Business and Economic Statistics , 8 : 153 – 62 .
- Pivetta , F and Reis , R . 2004 . The persistence of inflation in the United States mimeo, Harvard University, Cambridge
- Prodan , R . 2003 . Pitfalls in determining multiple structural breaks with an application to purchasing power parity mimeo, Department of Economics, University of Houston
- Ramsey , JB . 1969 . Tests for specification errors in classical linear least squares regression analysis . Journal of the Royal Statistical Society, series B , 31 : 350 – 71 .
- Rapach , DE and Wohar , ME . 2005 . Regime changes in international real interest rates, are they a monetary phenomenon? . Journal of Money, Credit and Banking , 37 : 887 – 906 .
- Santos , C . 2003 . Statistical inference in econometric models with indicator variables Unpublished M. Phil. Thesis, Department of Economics, University of Oxford
- Santos , C . 2006 . Structural breaks and outliers in economic time series, modelling and inference , D.Phil. Thesis University of Oxford, Department of Economics .
- Santos , C and Hendry , DF . 2006 . Saturation in autoregressive models Notas Económicas, 24, (invited contribution)
- Santos , C and Hendry , DF . 2008 . Impulse saturation break tests . Economics Letters , 98 : 136 – 43 .
- Santos , C , Hendry , DF and Johansen , S . 2007 . Automatic selection of indicators in a fully saturated regression Computational Statistics, DOI 10.1007/s00180-007-0054-z
- Stock , JH . 2001 . “ Comment ” . In NBER Macroeconomics Annual , Edited by: Bernanke , BS and Rogoff , K . New York : National Bureau of Economic Research .
- Taylor , JB . 1979 . Staggered wage setting in a macro model . American Economic Review , 69 : 108 – 13 .
- Taylor , JB . 1980 . Aggregate dynamics and staggered contracts . Journal of Political Economy , 88 : 1 – 24 .
- Taylor , JB . 2000 . Low inflation, pass-through and the pricing power of firms . European Economic Review , 44 : 1389 – 408 .
- Vogelsang , TJ . 1999 . Two simple procedures to test for unit roots when there are additive outliers . Journal of Time Series Analysis , 20 : 237 – 52 .
- White , H . 1980 . A heteroscedasticity consistent covariance matrix estimator and a direct test of heteroscedasticity . Econometrica , 48
- Willis , JL . 2003 . Implications of structural changes in the US economy for pricing behaviour and inflation dynamics mimeo, Federal Reserve Bank of Kansas City