Abstract
In this paper, we re-examine the change in persistence hypothesis for inflation, using data from Noriega et al. (Empir Econ 44:1243–1265, 2013) and the new testing procedures by Kejriwal et al. (Econom Theory 29:289–323, 2013). Our results display more evidence of change in persistence than Noriega et al.’s paper, with some remarkable conflicting conclusions with respect to their work, although results depend on the measure of inflation: seasonally adjusted, trend-cycle component or interannual.
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Notes
At a footnote in their 2013 paper, the authors acknowledge these new techniques and claim that their application and analysis would be left for future research. However, at present time such work has not been published yet.
We have computed the MZ\(_a\) statistic.
The data have been kindly provided by Professor Noriega, see Noriega et al. (2013) for further details.
Noriega et al. (2013) does not provide information about the procedure of seasonal adjustment, although we expect the overall conclusions of change in persistence tests not to be sensitive to the seasonal adjustment procedure.
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I acknowledge the useful comments of an anonymous referee.
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Belaire-Franch, J. A note on the evidence of inflation persistence around the world. Empir Econ 56, 1477–1487 (2019). https://doi.org/10.1007/s00181-017-1403-6
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DOI: https://doi.org/10.1007/s00181-017-1403-6