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

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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