An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

被引：13
|
作者：
Costantini, Mauro
Lupi, Claudio
机构：
[1] Univ Molise, Dept SEGeS, I-86100 Campobasso, Italy
[2] Inst Studies & Econ Anal, I-00185 Rome, Italy
[3] Univ Roma La Sapienza, Rome, Italy
来源：
ECONOMICS LETTERS | 2007年 / 95卷 / 03期
关键词：
unit roots; panel data; structural breaks;
D O I：
10.1016/j.econlet.2006.11.016
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the order of integration of inflation and interest rates in a panel of 19 countries. The results show that once multiple endogenous breaks are allowed for and appropriate critical values are used, the series appear to be I(0). (c) 2006 Elsevier B.V. All rights reserved.
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页码：408 / 414
页数：7
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