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

A note on change in persistence of U.S. city prices AbstractThis 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

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

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Publisher
de Gruyter
Copyright
© 2020 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2019-0051
Publisher site
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Abstract

AbstractThis 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.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Dec 1, 2022

Keywords: change in persistence; price level convergence; purchasing power parity; U.S. cities

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