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Lookup NU author(s): Professor Robert Sollis
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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.
Author(s): Sollis R
Publication type: Article
Publication status: Published
Journal: Working Paper Trinity College Dublin
Print publication date: 01/01/2001
Publisher: Trinity College Dublin