Nonstationarity and nonlinearity in inflation rate: Some further evidence

被引：22

作者：

Arize, Augustine C. ^{[1
]}

Malindretos, John ^{[2
]}

机构：

[1] Texas A&M Univ, Coll Business & Entrepreneurship, Commerce, TX 75429 USA

[2] William Paterson Univ, Cotsakos Coll Business, Wayne, NJ USA

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2012年 / 24卷

关键词：

Africa; Nonstationality; Cointegration; UNIT-ROOT TESTS; LONG-RUN RELATIONSHIP; GOOD SIZE; US INFLATION; TIME-SERIES; REAL; COINTEGRATION; EXOGENEITY; PARAMETER; DEMAND;

D O I：

10.1016/j.iref.2012.02.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this study, we investigate the time series properties of the inflation rate in all countries in Africa. In order to gauge whether the inflation rate is nonstationary or stationary, we employ: (i) two linear unit root tests based on different null hypotheses and (ii) nonlinear ESTAR-type unit root tests based on symmetric and asymmetric adjustments toward PPP. In addition, we use two methods to search for common stochastic trends between each African country's inflation rate and the inflation rate of the United States or the United Kingdom. The results provide vast evidence of nonstationarity and cointegration. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：224 / 234

页数：11

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