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Changements Structurels dans la Dynamique de l'Inflation aux États-Unis : Approches Non Paramétriques

Author

Listed:
  • Ibrahim Ahamada

    (EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Mohamed Safouane Ben Aïssa

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper re-examines the infl ation dynamics in the United States by using two methods of analysis of data fluctuation. Our aim is to detect the various of change points in the inflationary process. The two used approaches are non-parametric and do not privilege a priori any modeling. The fi rst method is based on the stability of the spectral density of the data (PRIESTLEY [1965] and [1996]). The second approach calls upon an iterative algorithm proposed by INCLAN and TIAO [1994]. Our obtained results seem to be very signifi cant since the two approaches detect almost the same dates of structural change points. They also indicate that the infl ation process considerably changed since the end of the Second World War. These structural breaks are characterized by movements of midium and short term in the year 1975 and of long term started since the year 1981. We observe some stabilization since the year 1981 in spite of momentary disturbances in 1990.

Suggested Citation

  • Ibrahim Ahamada & Mohamed Safouane Ben Aïssa, 2005. "Changements Structurels dans la Dynamique de l'Inflation aux États-Unis : Approches Non Paramétriques," Post-Print halshs-00272864, HAL.
    • Handle: RePEc:hal:journl:halshs-00272864
    DOI: 10.2307/20079120
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    Cited by:

    1. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Documents de travail du Centre d'Economie de la Sorbonne 10027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Philippe Jolivaldt & Ibrahim Ahamada, 2010. "Filtres usuels et filtre fondé sur les ondelettes : étude comparative et application au cycle économique," Économie et Prévision, Programme National Persée, vol. 195(4), pages 149-161.
    3. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Classical vs wavelet-based filters Comparative study and application to business cycle," Post-Print halshs-00476022, HAL.
    4. repec:hal:journl:halshs-00333582 is not listed on IDEAS

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