Is there a unit root in the inflation rate? New evidence from panel data models with multiple structural breaks

References

• Arize , AC , Malindretos , J and Nam , K . 2005 . Inflation and structural change in 50 developing countries . Atlantic Economic Journal , 33 : 461 – 71 .
   Google Scholar
• Balvers , R , Wu , Y and Gilliland , E . 2000 . Mean reversion across national stock markets and Parametric contrarian investment strategies . Journal of Finance , LV : 745 – 72 .
   Google Scholar
• Bai , J and Perron , P . 1998a . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
   Web of Science ®Google Scholar
• Bai , J and Perron , P . 1998b . Multiple structural change models: a simulation analysis, Technical Report ,
   Google Scholar
• Ball , L and Cecchetti , SG . 1990 . Inflation uncertainty at short and long horizons . Brookings Papers on Economic Activity , 1 : 215 – 45 .
   Google Scholar
• Barsky , RB . 1987 . The Fisher hypothesis and the forecastability and performance of inflation . Journal of Monetary Economics , 19 : 3 – 24 .
   Web of Science ®Google Scholar
• Bhattacharya , M and Narayan , PK . 2005 . Testing for the random walk hypothesis in the case of visitor arrivals: evidence from Indian tourism . Applied Economics , 37 : 1485 – 90 .
   Web of Science ®Google Scholar
• Bos , CS , Franses , PH and Ooms , M . 1999 . Long memory and level shifts: re-analyzing inflation rates . Empirical Economics , 24 : 427 – 49 .
   Google Scholar
• Brunner , AD and Hess , GD . 1993 . Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach . Journal of Business and Economic Statistics , 11 : 187 – 97 .
   Web of Science ®Google Scholar
• Carrion-I-Silvestre , JL , Barrio-Castro , TD and Lopez-Bazo , E . 2005 . Breaking the panels: an application to the GDP per capita . Econometrics Journal , 8 : 159 – 75 .
   Web of Science ®Google Scholar
• Chang , T , Chang , H-L , Chu , H-P and Su , C-W . 2006 . Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test . Applied Economics , 38 : 2453 – 59 .
   Web of Science ®Google Scholar
• Charemza , WW , Hristova , D and Burridge , P . 2005 . Is inflation stationary? . Applied Economics , 37 : 901 – 3 .
   Web of Science ®Google Scholar
• Clarida , R , Gali , J and Gertler , M . 1999 . The science of monetary policy: a new Keynesian perspective . Journal of Economic Literature , 37 : 1661 – 707 .
   Web of Science ®Google Scholar
• Chaudhuri , K and Wu , Y . 2004 . Mean reversion in stock prices: evidence from emerging markets . Managerial Finance , 30 : 22 – 31 .
   Google Scholar
• Cook , S . 2005 . Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation . Applied Economics , 37 : 607 – 17 .
   Web of Science ®Google Scholar
• Culver , SE and Papell , DH . 1997 . Is there a unit root in the inflation rate? Evidence from sequential break and panel data models . Journal of Applied Econometrics , 12 : 435 – 44 .
   Web of Science ®Google Scholar
• Dickey , DA and Fuller , WA . 1979 . Distributions of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Dickey , DA and Fuller , WA . 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
   Web of Science ®Google Scholar
• Dropsy , V . 1996 . Real exchange rates and structural breaks . Applied Economics , 28 : 209 – 19 .
   Web of Science ®Google Scholar
• Duck , NW . 1992 . UK evidence on breaking trend functions . Oxford Economic Papers , 44 : 426 – 39 .
   Web of Science ®Google Scholar
• Duncan , R and Fuentes , R . 2006 . regional convergence in Chile: new tests, old results . Cuadernos de Economia – Latin American Journal of Economics , 43 : 81 – 112 .
   Google Scholar
• Elliott , G , Rothenberg , TJ and Stock , JH . 1996 . Efficient test for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
   Web of Science ®Google Scholar
• Evans , MDD and Lewis , KK . 1995 . Do expected shifts in inflation affect estimates of the long-run Fisher relation . Journal of Finance , 50 : 225 – 53 .
   Web of Science ®Google Scholar
• Fleissig , AR and Strauss , J . 2000 . Panel unit root tests of purchasing power parity for price indices . Journal of International Money and Finance , 19 : 489 – 506 .
   Web of Science ®Google Scholar
• Garcia , R and Perron , P . 1996 . An analysis of the real interest rate under regime shifts . Review of Economics and Statistics , 78 : 111 – 25 .
   Web of Science ®Google Scholar
• Goodfriend , M and King , RG . 2001 . The case for price stability NBER Working Paper No. 8423, Cambridge
   Google Scholar
• Guetat , I and Serranito , F . 2007 . Income convergence within the MENA countries: a panel unit root approach . Quarterly Review of Economics and Finance , 46 : 685 – 706 .
   Google Scholar
• Hadri , K . 2000 . Testing for stationarity in heterogenous panel data . Econometrics Journal , 3 : 148 – 61 .
   Web of Science ®Google Scholar
• Hall , AD . 1994 . Testing for a unit root in time series with pretest data based model selection . Journal of Business and Economic Statistics , 12 : 461 – 70 .
   Web of Science ®Google Scholar
• Henry , OT and Shields , K . 2004 . Is there a unit root in inflation? . Journal of Macroeconomics , 26 : 481 – 500 .
   Web of Science ®Google Scholar
• Ho , T-W . 2002 . Searching stationarity in real exchange rates: application of the SUR estimator . Open Economies Review , 13 : 275 – 89 .
   Web of Science ®Google Scholar
• Huang , KXD and Liu , Z . 2005 . Inflation targeting: what inflation rate to target? . Journal of Monetary Economics , 52 : 1435 – 62 .
   Web of Science ®Google Scholar
• Huseyin , T . 2005 . Do real exchange rates contain a unit root? Evidence from Turkish data . Applied Economics , 37 : 2037 – 53 .
   Web of Science ®Google Scholar
• Im , KS , Pesaran , MH and Shin , Y . 1997 . Testing for unit roots in heterogeneous panels Manuscript, Department of Applied Economics, University of Cambridge
   Google Scholar
• Im , KS , Pesaran , MH and Shin , Y . 2003 . Testing for unit roots in heterogeneous panels . Journal of Econometrics , 115 : 53 – 74 .
   Web of Science ®Google Scholar
• Im , K-S , Lee , J and Tieslau , M . 2005 . Panel LM unit root tests with level shifts . Oxford Bulletin of Economics and Statistics , 67 : 393 – 419 .
   Web of Science ®Google Scholar
• Jungmittaq , A . 2006 . Innovation dynamics in the EU: convergence or divergence? A cross country panel data analysis . Empirical Economics , 31 : 313 – 31 .
   Google Scholar
• Kwiatkoeski , D , Phillips , PC , Schmidt , PJ and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root . Journal of Econometrics , 54 : 159 – 78 .
   Google Scholar
• Lee , H-Y and Wu , J-L . 2001 . Mean reversion of inflation rates: evidence from 13 OECD countries . Journal of Macroeconomics , 23 : 477 – 87 .
   Web of Science ®Google Scholar
• Lee , J and Strazicich , MC . 2003 . Minimum Lagrange multiplier unit root test with two structural breaks . The Review of Economics and Statistics , 85 : 1082 – 9 .
   Web of Science ®Google Scholar
• Levin , A and Lin , CF . 1992 . Unit root test in panel data: asymptotic and finite-sample properties Department of Economics Working Paper 92-23, University of California, San Diego
   Google Scholar
• Levin , A , Lin , CF and Chu , C-SJ . 2002 . Unit root tests in panel data: asymptotic and finite-sample properties . Journal of Econometrics , 108 : 1 – 24 .
   Web of Science ®Google Scholar
• Liu , J , Wu , S and Zidek , JV . 1997 . On segmented multivariate regressions . Statistica Sinica , 7 : 497 – 525 .
   Web of Science ®Google Scholar
• MacDonald , R and Murphy , PD . 1989 . Testing for the long-run relationships between nominal interest rates and inflation using cointegration techniques . Applied Economics , 21 : 439 – 47 .
   Web of Science ®Google Scholar
• Malliaropulos , D . 2000 . A note on nonstationarity, structural breaks, and the Fisher effect . Journal of Banking and Finance , 24 : 695 – 707 .
   Web of Science ®Google Scholar
• Million , N . 2003 . The Fisher effect revisited through an efficient non linear unit root testing procedure . Applied Economics Letters , 10 : 951 – 54 .
   Web of Science ®Google Scholar
• Narayan , PK . 2005a . The structure of tourist expenditure in Fiji: evidence from unit root structural break tests . Applied Economics , 37 : 1157 – 61 .
   Web of Science ®Google Scholar
• Narayan , PK . 2005b . Did Rabuka's military coups have a permanent effect or a transitory effect on tourist expenditure in Fiji: evidence from Vogelsang's structural break test . Tourism Management , 26 : 509 – 15 .
   Web of Science ®Google Scholar
• Narayan , PK . 2007a . Is Asian per capita GDP panel stationary? . Empirical Economics , doi: 10.1007/s00181-007-0129-2
   Google Scholar
• Narayan , PK . 2007b . Evidence of panel stationarity from Chinese provincial and regional income . China Economic Review , doi:10.1016/j.chieco.2007.02.010
   Google Scholar
• Narayan , PK . 2007c . The purchasing power parity revisited: new evidence for 16 OECD countries from panel unit root tests with structural breaks . International Financial Markets, Institutions and Money , doi:10.1016j.intfin2006.08.002
   Google Scholar
• Narayan , PK . 2007d . Do health expenditures ‘catch-up’? Evidence from OECD countries . Health Economics , 16
   PubMedGoogle Scholar
• Narayan , PK . 2007e . Do Shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change . Mathematics and Computers in Simulation , doi:10.1016/j.matcom.2007.03.003
   Google Scholar
• Narayan , PK , Narayan , S and Smyth , R . 2007 . Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries Energy Economics doi:10.1016/j.eneco.2007.07.005
   Google Scholar
• Narayan , PK and Smyth , R . 2007 . Are shocks to energy consumption permanent or transitory? Evidence from 182 countries . Energy Policy , 35 : 333 – 41 .
   Web of Science ®Google Scholar
• Nelson , C and Plosser , C . 1982 . Trends and random walks in macroeconomic time series . Journal of Monetary Economics , 10 : 139 – 62 .
   Web of Science ®Google Scholar
• Nelson , CR and Murray , CJ . 2000 . The uncertain trend in US GDP . Journal of Monetary Economics , 10 : 139 – 162 .
   Google Scholar
• Nelson , CR and Schwert , GW . 1977 . Short-term interest rates as predictors of inflation: on testing the hypothesis that the real interest rate is constant . American Economic Review , 67 : 478 – 86 .
   Web of Science ®Google Scholar
• Ng , S and Perron , P . 2001 . lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
   Web of Science ®Google Scholar
• O’Connell , P . 1998 . The overvaluation of purchasing power parity . Journal of International Economics , 44 : 1 – 19 .
   Web of Science ®Google Scholar
• Perron , P . 1989 . The great crash, the oil price shock and the unit root hypothesis . Econometrica , 57 : 1361 – 401 .
   Web of Science ®Google Scholar
• Quah , D . 1992 . International patterns of growth: I. Persistence in cross-country disparities Unpublished manuscript, London School of Economics
   Google Scholar
• Quah , D . 1994 . Exploiting cross-section variations for unit root inference in dynamic data . Economics Letters , 44 : 9 – 19 .
   Web of Science ®Google Scholar
• Raj , B . 1992 . International evidence in persistence in output in the presence of an episodic change . Journal of Applied Econometrics , 7 : 281 – 93 .
   Web of Science ®Google Scholar
• Ross , A . 1988 . Is the real interest rate stable? . Journal of Finance , 43 : 1095 – 112 .
   Web of Science ®Google Scholar
• Stulz , R and Wasserfallen , W . 1985 . Macroeconomic time series, business cycles and macroeconomic policies . Carnegie-Rochester Conference Series on Public Policy , 22 : 9 – 54 .
   Google Scholar
• Taylor , MP and Sarno , L . 1998 . The behaviour of real exchange rates during the post-Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
   Web of Science ®Google Scholar
• Taylor , AM . 2002 . A century of purchasing power parity . Review of Economics and Statistics , 84 : 139 – 50 .
   Web of Science ®Google Scholar
• Vogelsang , TJ and Perron , P . 1998 . Additional tests for a unit root allowing for a break in the trend function at an unknown time . International Economic Review , 39 : 1073 – 100 .
   Web of Science ®Google Scholar
• Woodford , M . 2003 . Interest and Prices: Foundations of a Theory of Monetary Policy , Princeton, NJ : Princeton University Press .
   Google Scholar
• Zelhorst , D and Haan , JDE . 1995 . Testing for a break in output: new international evidence . Oxford Economic Papers , 47 : 357 – 62 .
   Web of Science ®Google Scholar
• Yoon , G . 2003 . The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power . Applied Economics Letters , 10 : 627 – 31 .
   Web of Science ®Google Scholar
• Zivot , E and Andrews , D . 1992 . Further evidence of the great crash, the oil-price shock and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .
   Web of Science ®Google Scholar