Changes in the order of integration of US and UK inflation

Andreea Halunga, Denise Osborn, Marianne Sensier

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

Employing the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441–469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s.
LanguageEnglish
Pages30-32
JournalEconomics Letters
Volume102
Issue number1
DOIs
StatusPublished - Jan 2009

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Inflation
Persistence
Macroeconomics
Econometrics

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Changes in the order of integration of US and UK inflation. / Halunga, Andreea; Osborn, Denise ; Sensier, Marianne.

In: Economics Letters, Vol. 102, No. 1, 01.2009, p. 30-32.

Research output: Contribution to journalArticle

Halunga, Andreea ; Osborn, Denise ; Sensier, Marianne. / Changes in the order of integration of US and UK inflation. In: Economics Letters. 2009 ; Vol. 102, No. 1. pp. 30-32.
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