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BIBTEX RIS

Inflation inertia and inliers: the case of Brazil

2003; FUNDAÇÃO GETÚLIO VARGAS; Volume: 57; Issue: 4 Linguagem: Inglês

10.1590/s0034-71402003000400003

1806-9134

Ana Katarina Campêlo, Francisco Cribari‐Neto,

Economic Theory and Policy

This paper addresses the issue of measuring the degree of inertia in inflation in the presence of potential 'inliers'. It shows that by using robust unit root tests one reaches the same inference on the order of integration of the series as what is revealed by the modified procedure proposed by Cati et al. (1999). The results also suggest that, contrary to previous findings, the degree of inertia in inflation is rather small. Finally, the paper presents simulation results on the finite-sample behavior of unit root tests and of a persistence measure when the data contain inliers.