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

DOI10.1016/J.ECONLET.2006.11.016MaRDI QIDQ1934075zbMATH OpenOpenAlexFDO

Authors Claudio Lupi, Mauro Costantini

Publication date 28 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2006.11.016

zbMATH Keywords

panel datastructural breaksunit roots

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; risk measures (91G70)

Recommendations

• Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
• Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques
• Testing for unit roots in panels allowing for multiple structural breaks based on AR(1)
• Testing for unit roots in short panels allowing for a structural break
• Model specification in panel data unit root tests with an unknown break

Cites work

• Bootstrap unit root tests in panels with cross-sectional dependency
• Estimating and Testing Linear Models with Multiple Structural Changes
• Shortfalls of panel unit root testing
• Testing for a unit root in variables with a double change in the mean
• Testing the null of stationarity for multiple time series
• Unit‐root testing against the alternative hypothesis of up to m structural breaks

Cited in

(4)

• Bootstrap innovational outlier unit root tests in dependent panels
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques
• The change in real interest rate persistence in OECD countries: evidence from modified panel ratio tests

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