TY - JOUR
T1 - Changes in the order of integration of US and UK inflation
AU - Halunga, Andreea
AU - Osborn, Denise
AU - Sensier, Marianne
PY - 2009/1
Y1 - 2009/1
N2 - 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.
AB - 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.
UR - http://dx.doi.org/10.1016/j.econlet.2008.10.008
U2 - 10.1016/j.econlet.2008.10.008
DO - 10.1016/j.econlet.2008.10.008
M3 - Article
SN - 0165-1765
VL - 102
SP - 30
EP - 32
JO - Economics Letters
JF - Economics Letters
IS - 1
ER -