Is there really a unit root in the inflation rate? More evidence from panel data models

Time series unit root evidence suggests that inflation is nonstationary. By contrast, when using more powerful panel unit root tests, Culver and Papell (1997 Culver, SE and Papell, DH. 1997. Is there a unit root in the inflation rate? Evidence from sequential break and panel data models. Journal of Applied Econometrics, 12: 436–44. [Crossref], [Web of Science ®] , [Google Scholar]) find that inflation is stationary. In this article, we test the robustness of this result by applying a battery of recent panel unit root tests. The results suggest that the stationarity of inflation holds even after controlling for cross-sectional dependence and structural change.