TY  - UNPB
T1  - A multiple break panel approach to estimating United States Phillips curves
A1  - Russell,Bill
A1  - Banerjee,Anindya
A1  - Malki,Issam
A1  - Ponomareva,Natalia
AU  - Russell,Bill
AU  - Banerjee,Anindya
AU  - Malki,Issam
AU  - Ponomareva,Natalia
PB  - University of Dundee
PY  - 2010
Y1  - 2010
N2  - Phillips curves have often been estimated without due attention to the underlying time series properties of the data. In particular, the consequences of inflation having discrete breaks in mean, for example caused by supply shocks and the corresponding responses of policymakers, have not been studied adequately. We show by means of simulations and a detailed empirical example based on United States data that not taking account of breaks may lead to spuriously upwardly biased estimates of the dynamic inflation terms of the Phillips curve. We suggest a method to account for the breaks in mean and obtain meaningful and unbiased estimates of the short- and long-run Phillips curves in the United States and contrast our results with those derived from more traditional approaches, most recently undertaken by Cogley and Sbordone (2008).
AB  - Phillips curves have often been estimated without due attention to the underlying time series properties of the data. In particular, the consequences of inflation having discrete breaks in mean, for example caused by supply shocks and the corresponding responses of policymakers, have not been studied adequately. We show by means of simulations and a detailed empirical example based on United States data that not taking account of breaks may lead to spuriously upwardly biased estimates of the dynamic inflation terms of the Phillips curve. We suggest a method to account for the breaks in mean and obtain meaningful and unbiased estimates of the short- and long-run Phillips curves in the United States and contrast our results with those derived from more traditional approaches, most recently undertaken by Cogley and Sbordone (2008).
KW  - Phillips curve
KW  - Inflation
KW  - Panel data
KW  - Non-stationary data
KW  - Breaks
M1  - Discussion paper
BT  - A multiple break panel approach to estimating United States Phillips curves
T3  - Dundee Discussion Papers in Economics
T3  - en_GB
ER  -