Non-stationary inflation and panel estimates of United States short and long-run Phillips curves

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    Abstract

    This paper argues that because United States inflation has been nonstationary over the past 5 decades the body of empirical research that proceeds assuming explicitly or implicitly that inflation is stationary with constant mean is largely invalid. Using 50 years of US inflation data the standard results in the Phillips curve literature are shown to be due to unaccounted shifts in the mean rates of inflation over the period. We then proceed to estimate short and long-run Phillips curves for the United States using time series panel data techniques which account for these shifts in mean.
    Original languageEnglish
    PublisherUniversity of Dundee
    Publication statusPublished - 2007

    Publication series

    NameDundee Discussion Papers in Economics
    PublisherUniversity of Dundee
    No.200
    ISSN (Print)1473-236X

    Keywords

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

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    Russell, B. (2007). Non-stationary inflation and panel estimates of United States short and long-run Phillips curves. (Dundee Discussion Papers in Economics; No. 200). University of Dundee.