Abstract
Employing the modified tests of Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J. and Taylor, A.M.R., 2006. Modified tests for a change in persistence. Journal of Econometrics 134, 441-469.] for a single change in persistence and repartitioning the sample when a break is found, this paper shows that US and UK inflation changes from I(0) to I(1) in the early 1970s, with a subsequent reversion to I(0) behaviour, compatible with modern macroeconomic theories, in the early 1980s. © 2008 Elsevier B.V. All rights reserved.
Original language | English |
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Pages (from-to) | 30-32 |
Number of pages | 2 |
Journal | Economics Letters |
Volume | 102 |
Issue number | 1 |
DOIs | |
Publication status | Published - Jan 2009 |
Keywords
- Inflation
- Structural change