The time series behaviour of Brazilian inflation rate: new evidence from unit root tests with good size and power

被引：7
|
作者：
Yoon, G
机构：
[1] Pusan Natl Univ, Dept Econ, Pusan 609735, South Korea
[2] Univ York, York YO10 5DD, N Yorkshire, England
来源：
APPLIED ECONOMICS LETTERS | 2003年 / 10卷 / 10期
关键词：
D O I：
10.1080/1350485032000133309
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Various unit roots tests are suggested over the years. However, many of them suffer severe size problems as well as low power. Recently, Ng and Perron (Econometrica, 69, 1519-54, 2001) propose new modelling strategy that yields good power and reliable size. This letter applies their testing method to the Brazilian inflation rate, which is contaminated by various government interventions to bring hyperinflation under control and for which standard unit root tests produce unintuitive results. The new method is found to yield reliable results for the current data and a possible explanation is also provided for its performance.
引用
收藏
页码：627 / 631
页数：5
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