Inflation in the G7 countries: persistence and structural breaks

Abstract This paper examines long-range dependence in the inflation rates of G7 countries by estimating their (fractional) order integration d over sample period January 1973—March 2020. The results indicate that series are very persistent, estimated value being equal to or higher than 1 all cases. Possible non-linearities form Chebyshev polynomials time ruled out. Endogenous break tests then carried out, and degree is for each subsamples corresponding detected dates. Significant differences found between terms series, which likely be related reputation credibility monetary authorities.