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US and UK inflation: evidence on structural change in the order of integration

Lookup NU author(s): Professor Robert SollisORCiD

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Abstract

We employ smooth transition models to test the null hypothesis of a unit root in time series on U.S. and U.K. monthly inflation beginning in 1957. Under the alternative hypothesis the test allows for structural change from level-stationarity to difference stationarity. For both countries the hypothesis of a unit root is rejected and it is estimated that rapid structural change began in 1970:6 in U.K. inflation and 1973:6 in U.S. inflation.

Publication metadata

Author(s): Sollis R

Publication type: Article

Publication status: Published

Journal: Working Paper Trinity College Dublin

Year: 2001

Pages: 1-17

Print publication date: 01/01/2001

Publisher: Trinity College Dublin

URL: http://www.tcd.ie/Economics/TEP/2001_papers/tepno2RS21.PDF

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