The inflation rates may accelerate after all: Panel evidence from 19 OECD economies

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)

Abstract

The stationarity of inflation has many important economic implications. Most panel-based empirical studies do not handle cross-sectional dependence, which will result in power distortion. This paper applies a nonlinear IV estimator to calculate the test statistic of panel unit root (Chang in J Econom 110:261-292, 2002), which accounts for general cross-sectional correlation. Using monthly inflation rates, two statistics proposed by Im et al. (J Econom 115:53-74, 2003) reject the unit root; however, the nonlinear IV statistic accepts the unit root. That is, the ignored cross-sectional correlation may lead to over-rejection of the unit root null. In a nutshell, unlike current literature, the inflation rates may accelerate after all.

Original languageEnglish
Pages (from-to)55-64
Number of pages10
JournalEmpirical Economics
Volume36
Issue number1
DOIs
Publication statusPublished - 2009
Externally publishedYes

Keywords

  • Cross-sectional dependencies
  • Nonlinear IV
  • Panel unit root

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'The inflation rates may accelerate after all: Panel evidence from 19 OECD economies'. Together they form a unique fingerprint.

Cite this