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Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modelling

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dc.contributor.authorSantos, Carlos
dc.contributor.authorOliveira, Maria Alberta
dc.date.accessioned2014-06-04T15:44:30Z
dc.date.available2014-06-04T15:44:30Z
dc.date.issued2010
dc.description.abstractThis 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.por
dc.description.versioninfo:eu-repo/semantics/publishedVersion
dc.identifier.citationSANTOS, 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. 1577–1589por
dc.identifier.doi10.1080/00036840701721521
dc.identifier.eissn1466-4283
dc.identifier.issn0003-6846
dc.identifier.urihttp://hdl.handle.net/10400.14/14480
dc.identifier.wosWOS:000277693200009
dc.language.isoengpor
dc.peerreviewedyespor
dc.publisherTaylor & Francis
dc.titleAssessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modellingpor
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage1589
oaire.citation.issue12
oaire.citation.startPage1577
oaire.citation.titleApplied Economics
oaire.citation.volume42
person.familyNameSantos
person.familyNameOliveira
person.givenNameCarlos
person.givenNameMaria Alberta
person.identifier.ciencia-idB21B-EE12-A3EC
person.identifier.ciencia-id691E-C5C6-E471
person.identifier.orcid0000-0002-5100-0794
person.identifier.orcid0000-0003-2918-1354
person.identifier.ridR-3064-2016
person.identifier.scopus-author-id55998214300
person.identifier.scopus-author-id8636090500
rcaap.rightsrestrictedAccesspor
rcaap.typearticlepor
relation.isAuthorOfPublicationca088211-4560-4dc9-a5d4-a608554bc01c
relation.isAuthorOfPublication82201628-8131-475d-a130-274ca446cc17
relation.isAuthorOfPublication.latestForDiscovery82201628-8131-475d-a130-274ca446cc17

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