An application of a new seasonal unit root test to inflation

被引：17

作者：

Narayan, Paresh Kumar ^{[1
]}

Popp, Stephan ^{[2
]}

机构：

[1] Deakin Univ, Sch Accounting Econ & Finance, Fac Business & Law, Burwood, Vic 3125, Australia

[2] Univ Essen Duishburg, Dept Econ, Duisburg, Germany

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2011年 / 20卷 / 04期

关键词：

Inflation rates; The G7 countries; Seasonal unit root tests; Structural breaks; AUTOREGRESSIVE TIME-SERIES; REAL INTEREST-RATE; PANEL-DATA MODELS; STRUCTURAL BREAKS; MONETARY-POLICY; MEAN SHIFTS; GOOD SIZE; RATES; HYPOTHESIS; COINTEGRATION;

D O I：

10.1016/j.iref.2011.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we apply the modified seasonal unit root test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal unit root in Canada's inflation rate, a semiannual unit root in Germany's inflation rate, and no seasonal unit root at the annual frequency for any of the G7 countries. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：707 / 716

页数：10

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