Convergence of Prices and Rates of Inflation*
展示如何联合使用单位根检验和平稳性检验来研究价格与通胀率的收敛性，区分正在收敛与已经收敛的序列，并检验收敛发生在相对价格还是通胀率上。通过蒙特卡洛模拟发现，基于末次观测偏差的DF检验对高持续性自回归过程有更高检验功效。实证部分分析了1970-2003年意大利各省会城市月度CPI数据。
Abstract We consider how unit‐root and stationarity tests can be used to study the convergence of prices and rates of inflation. We show how the joint use of these tests in levels and first differences allows the researcher to distinguish between series that are converging and series that have already converged, and we set out a strategy to establish whether convergence occurs in relative prices or just in rates of inflation. Special attention is paid to the issue of whether a mean should be extracted in carrying out tests in first differences and whether there is an advantage to adopting a (Dickey–Fuller) unit‐root test based on deviations from the last observation. The asymptotic distribution of this last test statistic is given and Monte Carlo simulation experiments show that the test yields considerable power gains for highly persistent autoregressive processes with ‘relatively large’ initial conditions. The tests are applied to the monthly series of the consumer price index in the Italian regional capitals over the period 1970–2003.