Changes in the order of integration of US and UK inflation

Andreea Halunga; Denise  Osborn; Marianne Sensier

doi:10.1016/j.econlet.2008.10.008

Changes in the order of integration of US and UK inflation

Andreea Halunga, Denise Osborn, Marianne Sensier

Department of Economics

Research output: Contribution to journal › Article › peer-review

18 Citations (SciVal)

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.

Original language	English
Pages (from-to)	30-32
Journal	Economics Letters
Volume	102
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2008.10.008
Publication status	Published - Jan 2009

Access to Document

10.1016/j.econlet.2008.10.008

Cite this

@article{13248b7b0fce4f1e9a88efee5f105da2,

title = "Changes in the order of integration of US and UK inflation",

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.",

author = "Andreea Halunga and Denise Osborn and Marianne Sensier",

year = "2009",

month = jan,

doi = "10.1016/j.econlet.2008.10.008",

language = "English",

volume = "102",

pages = "30--32",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

number = "1",

}

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

UR - https://www.scopus.com/pages/publications/58149503749

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 -

Changes in the order of integration of US and UK inflation

Abstract

Access to Document

Other files and links

Fingerprint

Cite this