Resumen de Testing for infrequent permanent shocks: is the US inflation rate stationary?

Roger A. Fujihara, Mbodja Mougoué

• This study examines the time series properties of inflation in order to emphasize the nature of the shocks to the process. In particular, we offer evidence that US inflation may be characterized by low frequency permanent shocks, as opposed to the high frequency permanent shocks that is commonly assumed to exist in models with unit roots. Such infrequent shifts would be consistent with other empirical work that considers changes in regimes, such as a Markov switching model.