TY - JOUR
T1 - An application of a new seasonal unit root test to inflation
AU - Narayan, Paresh Kumar
AU - Popp, Stephan
N1 - Copyright:
Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2011/10
Y1 - 2011/10
N2 - In this paper, we apply the modified seasonal unit root test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal unit root in Canada's inflation rate, a semi-annual unit root in Germany's inflation rate, and no seasonal unit root at the annual frequency for any of the G7 countries.
AB - In this paper, we apply the modified seasonal unit root test with seasonal level shifts at unknown time proposed by Popp (2007) to the G7 inflation rate. We also study the power properties of this test and generate critical values for a range of different break points and sample sizes. We find that there is a non-seasonal unit root in Canada's inflation rate, a semi-annual unit root in Germany's inflation rate, and no seasonal unit root at the annual frequency for any of the G7 countries.
KW - Inflation rates
KW - Seasonal unit root tests
KW - Structural breaks
KW - The G7 countries
UR - http://www.scopus.com/inward/record.url?scp=79957571059&partnerID=8YFLogxK
U2 - 10.1016/j.iref.2011.01.001
DO - 10.1016/j.iref.2011.01.001
M3 - Article
AN - SCOPUS:79957571059
VL - 20
SP - 707
EP - 716
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
SN - 1059-0560
IS - 4
ER -