Azimi, Mohammad Naim (2015): Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI. Published in: International Journal of Management and Commerce Innovations , Vol. 3, No. 2 (1 February 2016): pp. 329335.

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Abstract
In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the official website of National Bureau of Economic Research. The testing procedure includes fitted OLS regression on which the Augmented Dickey Fuller (ADF) and PhillipsPerron (PP) unit root test are computed. The statistical analysis of both ADF and PP exhibit a smaller test statistic value for CPI than the critical value at 0.05 which means that CPI is not generated from a stationary process and it follows unit root at level, though, it does not follow unit root and it is stationary at its first difference. Therefore, we reject the null hypothesis in favor of the alternative.
Item Type:  MPRA Paper 

Original Title:  Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI 
English Title:  Is CPI generated from stationary process? An investigation on unit root hypothesis of India’s CPI 
Language:  English 
Keywords:  CPI; Unit Root; Stationary Process; Augmented Dickey Fuller; PhilipsPerron 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C41  Duration Analysis ; Optimal Timing Strategies 
Item ID:  69518 
Depositing User:  Dr. Mohammad Naim Azimi 
Date Deposited:  14 Feb 2016 07:29 
Last Modified:  27 Sep 2019 09:27 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/69518 