Dundee Discussion Papers in Economics 252: A multiple break panel approach to estimating United States Phillips curves

Bill Russell, Anindya Banerjee, Issam Malki, Natalia Ponomareva

    Research output: Working paper/PreprintDiscussion paper

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    Abstract

    Phillips curves are often estimated without due attention being paid to the underlying time series properties of the data. In particular, the consequences of inflation having discrete breaks in mean 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 biased, and therefore spurious, estimates of Phillips curves. We suggest a method to account for the breaks in mean inflation and obtain meaningful and unbiased estimates of the short- and long-run Phillips curves in the United States.
    Original languageEnglish
    PublisherUniversity of Dundee
    Number of pages47
    Publication statusPublished - Jun 2011

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee
    No.252
    ISSN (Print)1473-236X

    Keywords

    • Phillips curve
    • Inflation
    • Panel data
    • Non-stationary data
    • Breaks

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