A note on change in persistence of U.S. city prices

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-12-21 DOI:10.1515/snde-2019-0051

J. Belaire-Franch

引用次数: 0

Abstract

Abstract This paper seeks to explain the high persistence in U.S. price differentials found in Cecchetti, S. G., N. C. Mark, and R. J. Sonora. 2002. “Price Index Convergence Among United States Cities.” International Economic Review 43: 1081–99, by means of the concept of change in persistence. To that end, have computed recently developed tests by Kejriwal, M., P. Perron, and J. Zhou. 2013. “Wald Tests for Detecting Multiple Structural Changes in Persistence.” Econometric Theory 29: 289–323, allowing for multiple changes in persistence under the alternative hypothesis. We conclude that change in persistence cannot be ruled out for some city price differentials.

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关于美国城市价格持续性变化的注记

摘要本文试图解释在Cecchetti，S.G.，N.C.Mark和R.J.Sonora发现的美国价格差异的高持续性。2002年，“美国城市之间的价格指数趋同”，《国际经济评论》43:1081–99，通过持续变化的概念。为此，我们计算了Kejriwal，M.，P.Perron和J.Zhou最近开发的测试。2013年，“检测持久性多重结构变化的Wald检验”，计量经济学理论29:289–323，允许在替代假设下的持久性多重变化。我们得出的结论是，对于某些城市的价格差异，不能排除持续性的变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.