Inflation inertia and inliers: the case of Brazil

Francisco Cribari‐Neto

32 citations0/0 files storedRevista Brasileira de Economia

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Monetary Policy and Economic Impact Unemployment and Economic Growth Diverse Scientific and Economic Studies

Abstract

This paper addresses the issue of measuring the degree of inertia in inflation in the presence of potential 'inliers'. It shows that by using robust unit root tests one reaches the same inference on the order of integration of the series as what is revealed by the modified procedure proposed by Cati et al. (1999). The results also suggest that, contrary to previous findings, the degree of inertia in inflation is rather small. Finally, the paper presents simulation results on the finite-sample behavior of unit root tests and of a persistence measure when the data contain inliers.

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References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1999Unit Roots, Cointegration, and Structural Change 1988How Big Is the Random Walk in GNP?1999Unit roots in the presence of abrupt governmental interventions with an application to Brazilian data 1997Robust Rank Tests of the Unit Root Hypothesis 1998AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS

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