Inflation inertia and inliers: the case of Brazil

Inflation inertia and inliers: the case of Brazil

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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Main Authors: Campêlo,Ana Katarina, Cribari-Neto,Francisco
Format: Digital revista
Language:English
Published: Fundação Getúlio Vargas 2003
Online Access:http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400003
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spelling oai:scielo:S0034-714020030004000032004-06-14Inflation inertia and inliers: the case of BrazilCampêlo,Ana KatarinaCribari-Neto,Francisco inflation inertia inliers persistence unit roots 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.info:eu-repo/semantics/openAccessFundação Getúlio VargasRevista Brasileira de Economia v.57 n.4 20032003-12-01info:eu-repo/semantics/articletext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400003en10.1590/S0034-71402003000400003
institution SCIELO
collection OJS
country Brasil
countrycode BR
component Revista
access En linea
databasecode rev-scielo-br
tag revista
region America del Sur
libraryname SciELO
language English
format Digital
author Campêlo,Ana Katarina
Cribari-Neto,Francisco
spellingShingle Campêlo,Ana Katarina
Cribari-Neto,Francisco
Inflation inertia and inliers: the case of Brazil
author_facet Campêlo,Ana Katarina
Cribari-Neto,Francisco
author_sort Campêlo,Ana Katarina
title Inflation inertia and inliers: the case of Brazil
title_short Inflation inertia and inliers: the case of Brazil
title_full Inflation inertia and inliers: the case of Brazil
title_fullStr Inflation inertia and inliers: the case of Brazil
title_full_unstemmed Inflation inertia and inliers: the case of Brazil
title_sort inflation inertia and inliers: the case of brazil
description 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.
publisher Fundação Getúlio Vargas
publishDate 2003
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402003000400003
work_keys_str_mv AT campeloanakatarina inflationinertiaandinliersthecaseofbrazil
AT cribarinetofrancisco inflationinertiaandinliersthecaseofbrazil
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