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A multiple break panel approach to estimating United States Phillips curves

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A multiple break panel approach to estimating United States Phillips curves. / Russell, Bill; Banerjee, Anindya; Malki, Issam; Ponomareva, Natalia.

University of Dundee, 2010. (Dundee Discussion Papers in Economics; No. 232).

Research output: Working paperDiscussion paper

Harvard

Russell, B, Banerjee, A, Malki, I & Ponomareva, N 2010 'A multiple break panel approach to estimating United States Phillips curves' Dundee Discussion Papers in Economics, no. 232, University of Dundee.

APA

Russell, B., Banerjee, A., Malki, I., & Ponomareva, N. (2010). A multiple break panel approach to estimating United States Phillips curves. (Dundee Discussion Papers in Economics; No. 232). University of Dundee.

Vancouver

Russell B, Banerjee A, Malki I, Ponomareva N. A multiple break panel approach to estimating United States Phillips curves. University of Dundee. 2010, (Dundee Discussion Papers in Economics; 232).

Author

Russell, Bill; Banerjee, Anindya; Malki, Issam; Ponomareva, Natalia / A multiple break panel approach to estimating United States Phillips curves.

University of Dundee, 2010. (Dundee Discussion Papers in Economics; No. 232).

Research output: Working paperDiscussion paper

Bibtex - Download

@techreport{ff90d00c33c4461f847976248eed2f4f,
title = "A multiple break panel approach to estimating United States Phillips curves",
keywords = "Phillips curve, Inflation, Panel data, Non-stationary data, Breaks",
publisher = "University of Dundee",
author = "Bill Russell and Anindya Banerjee and Issam Malki and Natalia Ponomareva",
year = "2010",
type = "WorkingPaper <importModel: WorkingPaperImportModel>",
series = "Dundee Discussion Papers in Economics",
institution = "University of Dundee",

}

RIS (suitable for import to EndNote) - Download

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 -

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