Yaya, OlaOluwa S (2017): Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural breakGARCHbased unit root tests. Forthcoming in: Statistics in Transition

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Abstract
This paper reinvestigates unit root hypotheses in inflation rates for 21 OECD countries using the newly proposed GARCHbased unit root tests with structural break and trend specifications. The results showed that classical tests overaccept unit roots in inflation rates, whereas these tests are not robust to heteroscedasticity. As observed from the pretests, those tests with structural break reject more null hypotheses of unit roots of most inflation series. By applying variants of GARCHbased unit root tests which include those with structural breaks and time trend regression specifications, we found that unit root tests without time trend gave most rejections of the conventional unit root. Thus, care should be taken while applying variants of the new unit root tests on weak trending time series as indicated in this work.
Item Type:  MPRA Paper 

Original Title:  Another Look at the Stationarity of Inflation rates in OECD countries: Application of Structural breakGARCHbased unit root tests 
Language:  English 
Keywords:  Heteroscedasticity; Inflation rate; Structural breaks; Unit root; OECD countries 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables 
Item ID:  88769 
Depositing User:  Dr OlaOluwa Yaya 
Date Deposited:  01 Sep 2018 17:22 
Last Modified:  26 Sep 2019 18:27 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/88769 