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Advisor(s)
Abstract(s)
This article has three different motivations. Firstly, we wish to contribute
to the debate on whether French inflation has been persistent since
the mid-eighties. Empirical evidence in this domain has been mixed.
We use the standard method of testing for breaks in the mean
of the inflation series to conclude whether possible unit root findings
are the result of neglected breaks. Then, we build standard autoregressive
representations of inflation, using an automatic general-to-specific
approach. We conclude against inflation persistence in the sample
period, and the point estimates of persistence we obtain are several
percentage points below those achieved with other break tests and model
selection methods. Moreover, our final model is congruent. Secondly,
we provide the first empirical application of the new impulse saturation
break test. The resulting estimates of the break dates are in line with other
literature findings and have a sound economic meaning, confirming the
good performance the test had revealed in theoretical and simulation
studies. Finally, we also illustrate the shortcomings of the Bai–Perron test
when applied to a small sample with high serial correlation. Indeed,
we show the Bai–Perron break dates’ estimates would not allow us to build
a congruent autoregressive representation of inflation.
Description
Keywords
Pedagogical Context
Citation
SANTOS, Carlos; OLIVEIRA, Maria Alberta - Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modelling. Applied Economics, ISSN 0003–6846. Vol. 42 (2010), p. 1577–1589
Publisher
Taylor & Francis