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).
An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks / Costantini, M; Lupi, C. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 95:(2007), pp. 408-414. [10.1016/j.econlet.2006.11.016]
An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks
COSTANTINI M;
2007
Abstract
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).File allegati a questo prodotto
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