Are Inflation Rates Stationary in 11 Mediterranean Countries? Evidence from Univariate and Panel Unit Root Tests

Atkins, F. & Chan M. (2004) “Trend breaks and the Fisher Hypothesis in Canada and the
United States.” Applied Economics, 36: 1907–1913.
Arize, A. C., Malindretos J. & Nam K. (2005) “Inflation and Structural Change in 50
Developing countries.” Atlantic Economic Journal, 33(4): 461–471.
Arize, A. C. (2011) “Are Inflation Rates Really Nonstationary? New Evidence from Non-linear
STAR Framework and African Data.” International Journal of Economics and Finance, 3(3):
97-108.
Bai, J. & Perron P. (1998) “Estimating and testing linear models with multiple structural
changes.” Econometrica, 66(1): 47–68.
Bai, J. & Perron P. (2003) “Computation and analysis of multiple structural change models.”
Journal of Applied Econometrics, 18(1): 1–22.
Ball, L., Cecchetti S. G. & Gordon R. J. (1990) “Inflation and Uncertainty at Short and Long
Horizons.” Brookings Papers on Economic Activity, 21(1): 215-254.
Basher, S. A. & Westerlund J. (2007) “Is there really a unit root in the inflation rate? More
evidence from panel data models.” Applied Economics Letters, 15(3): 161-164.
Burcu OZCAN
Page | 94 EJBE 2013, 6 (12)
Benati, L. & Kapetanios G. (2002) “Structural Breaks in Inflation Dynamics.” Manuscript, Bank
of England.
Bos, C. S., Franses P. H. & Ooms M. (1999) “Long memory and level shifts: re-analyzing
inflation rates.” Empirical Economics, 24 (3): 427–449.
Bos, C. S., Franses P. H. & Ooms M. (2001) “Inflation, Forecast Intervals and Long Memory
Regression Models.” Tinbergen Institute Discussion Paper TI-01-029/4.
Cagan, P. (1956) “The monetary dynamics of hyperinflation”, In M. Friedman (Ed), Studies in
the Quantity Theory of Money, pp. 25-117, Chicago: University of Chicago Press.
Caner, M. & Hansen B. (2001) “Threshold autoregression with a unit root.”, Econometrica,
69(6): 1555–1596.
Caporale, T. & Paxton J. (2013 in press) “Inflation stationarity during Latin American
inflation: insights from unit root and structural break analysis.” Applied Economics, 45(15):
2001-2010.
Carrion-i-Silvestre, J. L., Barrio-Castro T. D. & Lopez-Bazo E. (2005) “Breaking the panels: an
application to the GDP per capita.” Econometrics Journal, 8:159–75.
Cecchetti, S.G. & Debelle G. (2006) “Has the inflation process changed?.” Economic Policy,
21(46): 311–352.
Charemza, W.W., Hristova D. & Burridge P. (2005) “Is inflation stationary?.” Applied
Economics, 37(8): 901-903.
Clemente, J., Montanes A. & Reyes M. (2004) “Structural Breaks, Inflation and Interest Rates:
Evidence for the G7 countries.” Econometrics 0401005, EconWPA.
Cook, S. (2005) “Rank-based unit root testing in the presence of structural change under the
null: Simulation results and an application to US inflation.” Applied Economics, 37(6): 607-
617.
Crowder, W.J. & Wohar M.E. (1999). “Are Tax Effects Important in the Long-Run Fisher
Relationship? Evidence from the Municipal Bond Market.” The Journal of Finance, LIV(1):
307-317.
Culver, S.E. & Papell D.H. (1997). “Is there a unit root in the inflation rate? Evidence from
sequential break and panel data models.” Journal of Applied Econometrics, 12: 435–44.
Das, S. & Bhattacharya K. (2004) “Price Convergence across Regions in India.” Bonn Econ
Discussion Papers.
Dickey, D.A. & Fuller W.A. (1979) “Distribution of the estimators for autoregressive time
series with a unit root.” Journal of the American Statistical Association, 74: 427–431.
Dickey, D.A. & Fuller, W.A. (1981) “Distribution of the estimators for autoregressive time
series with a unit root.” Econometrica, 49: 1057-72.
Drine, I. & Rault C. (2006) “Testing for inflation convergence between the Euro Zone and its
CEE partners.” Applied Economics Letters, 13(4): 235-240.
Elliot, G., Rothenberg T. J. & Stock J. H. (1996) “Efficient tests for an autoregressive unit
root.” Econometrica, 64: 813–836.
Gadea, M. D., Sabate M. & Serrano J. M. (2004) “Structural breaks and their trace in the
memory Inflation rate series in the long-run.” International Financial Markets, Institution and
Money, 14: 117–134.
Gregoriou, A. & Kontonikas A. (2009) “Modeling the behavior of inflation deviations from the
target.” Economic Modelling, 26: 90–95.
Are Inflation Rates Stationary in 11 Mediterranean Countries? …
EJBE 2013, 6 (12) Page | 95
Hadri, K. (2000) “Testing for stationarity in heterogeneous panel data.” The Econometrics
Journal, 3(2): 148–161.
Henry, O.T. & Shields, K. (2004) “Is there a unit root in inflation?.” Journal of
Macroeconomics, 26: 481–500.
Holmes, M. J. (2002) “Panel data evidence on inflation convergence in the European Union.”
Applied Economics Letters, 9(3): 155-158.
Ho, T. (2009) “The inflation rates may accelerate after all: panel evidence from 19 OECD
economies.” Empirical Economics, 36(1): 55-64.
Hooi, L. H. & Smyth R. (2005) “Do Asian Exchange Rates follow a random walk? Evidence
from univariate and panel LM unit root tests with one and two structural breaks.” ABERU
Discussion Paper21, Monash University.
Im, K.S., Pesaran M. H. & Shin Y. (2003) “Testing for unit roots in heterogeneous panels.”
Journal of Econometrics, 115: 53-74.
Im, K.S., Lee J. & Tieslau M. (2005) “Panel LM unit root tests with level shifts.” Oxford
Bulletin of Economics and Statistics, 67: 393–419.
Im, K.S., Lee J. & Tieslau M. (2010) “Panel LM unit-root tests with trend shifts.” Mimeo
Jewell, T., Lee J., Tieslau M. & Strazicich M. C. (2003) “Stationarity of Health Expenditures
and GDP: Evidence from Panel Unit Root Test with Heterogeneous Structural Breaks.”
Journal of Health Economics, 22: 313-323.
Johansen, S. (1988) “Statistical Analysis of Co integrated Vectors.” Journal of Economic
Dynamics and Control, 12(2-3): 231-254.
Kapetanios, G., Shin Y. & Snell A. (2003) “Testing for a unit root in the nonlinear STAR
framework.” Journal of Econometrics, 112: 359–379.
Kwiatkowski, D., Phillips P.C.B., Schmidt P. & Shin Y. (1992) “Testing the Null Hypothesis of
Stationarity against the Alternative of a Unit Root.” Journal of Econometrics, 54: 159–178.
Lai, K.S. (1997) “On the disparate evidence on trend stationarity in inflation rates: A
Reappraisal.” Applied Economics Letters, 4(5): 305-309.
Lean, H. H. & Smyth R. (2012) “Are fluctuations in production of renewable energy
permanent or transitory?.” Discussion Paper 05, Monash University.
Lee, H.Y. & Wu J.L. (2001) ‘”Mean Reversion of Inflation Rates: Evidence from 13 OECD
Countries.” Journal of Macroeconomics, 23(3): 477–487.
Lee, J. & Strazicich, M.C. (2003) “Minimum LM unit root test with two structural breaks.”
Review of Economics and Statistics, 85(4):1082-1089.
Lee., J. & Strazicich, M.C. (2004) “Minimum LM Unit Root Test with One Structural Breaks.”
Working Paper 04-17, Department of Economics, Appalachian State University.
Lee, J. & Strazicich, M. (2009) “LM Unit Root Tests with Trend Breaks at Unknown Dates.”
mimeo.
Lee, C.C. & Chang C.P. (2008) “Trend stationary of inflation rates: evidence from LM unit root
testing with a long span of historical data.” Applied Economics, 40(19): 2523-2536.
Levin, A.T. & Piger J.M. (2003) “Is Inflation Persistence Intrinsic In Industrial Economies?.”
Working Paper 2002-023E, The Federal Reserve Bank of St. Louis.
Lumsdaine, R.L. & Papell D.H. (1997) “Multiple Trend Breaks and the Unit Root Hypothesis.”
Review of Economics and Statistics, 79 (2): 212-218.
Malliaropulos, D. (2000) “A note on nonstationarity, structural breaks and the Fisher effect.”
Journal of Banking and Finance, 24: 695–707.
Burcu OZCAN
Page | 96 EJBE 2013, 6 (12)
Narayan P. K. & Popp, S. (2010) “A new unit root test with two structural breaks in level and
slope at unknown time.” Journal of Applied Statistics, 37: 1425–1438.
Narayan, P. K. & Narayan, S. (2010) “Is there a unit root in the inflation rate? New evidence
from panel data models with multiple structural breaks.” Applied Economics, 42(13): 1661-
1670.
Nelson, C. & Plosser, C. (1982) “Trend and random walks in macroeconomic time series:
some evidence and implications.” Journal of Monetary Economics, 10(2): 139–162.
Ng, S. & Perron, P. (2001) “Lag selection and the construction of unit root tests with good
size and power.” Econometrica, 69: 1519–1554.
Osterholm, P. (2004) “Killing four unit root birds in the US economy with three panel unit
root test stones.” Applied Economics Letters, 11: 213-216.
Otero, J. (2008) “Testing for stationarity in inflation rates: A re-examination of the evidence
from 13 OECD countries.” Oxford Business & Economics Conference Program.
Ozturk, I. & Aslan A. (2011) “Are fluctuations in energy consumption per capita series
transitory? Evidence from Turkey?.” Energy Exploration & Exploitation, 29(2):161-167.
Park, H. & Fuller, W. (1995). “Alternative estimators and unit root tests for the
autoregressive process.” Journal of Time Series Analysis, 16: 415-429.
Perron P. (1989) “The great crash, the oil price shock, and the unit root hypothesis.”
Econometrica, 57: 1361–1401.
Pesaran, M.H. (2007) “A simple Panel Unit Root Test in the Presence of Cross Section
Dependence.” Journal of Applied Econometrics, 22 (2), pp. 265-312.
Phillips, P.C.B and Perron, P. (1988). “Testing for a Unit Root in Time Series Regression.”
Biometrika, 75: 335–346.
Romero-Avila, D. & Usabiaga, C. (2009) “The hypothesis of a unit root in OECD inflation
revisited.” Journal of Economics and Business, 61: 153–161.
Sen A. (2003) “On unit-root tests when the alternative is a trend-break stationary process.”
Journal of Business and Economics Statistics, 21: 174-84.
Schmidt P. & Phillips P.C.B. (1992). “LM tests for a unit root in the presence of deterministic
trends.” Oxford Bulletin of Economics and Statistics, 54: 257-87.
Smith, L.V., Leybourne S., Kim T. & Newbold P. (2004) “More powerful panel data unit root
tests with an application to the mean reversion in real exchange rates.” Journal of Applied
Econometrics, 19(2): 147–170.
Taylor, M. P. & Sarno L. (1998) “The Behavior of Real Exchanges during the Post-Bretton
Woods Period.” Journal of International Economics, 46: 281–312.
Tsong, C.C, Lee C.F. & Lee C.C. (2012) “A Revisit to the Stationarity of OECD Inflation:
Evidence from Panel Unit-Root Tests and the Covariate Point Optimal Test.” Japanese
Economic Review, 63(3): 380-396.
Vogelsang, T. J. & Perron P. (1998) “Additional Tests for a Unit Root Allowing for a Break in
the Trend Function at an Unknown Time.” International Economic Review, 39(4): 1073-1100.
World Development Indicators, World Bank. (2012). http://data.worldbank.org/datacatalog/
world-development-indicators. (accessed September 08, 2012)
Zhou, S. (2013 in press) “Nonlinearity and stationarity of inflation rates: evidence from the
euro-zone countries.” Applied Economics, 45(7): 849-856.
Zivot, E. & Andrews D. W. K. (1992) “Further evidence on the Great Crash, the oil price shock
and the unit root hypothesis.” Journal of Business and Economic Statistics, 10: 251–270.