RBA Annual Conference – 2009 Key Elements of Global Inflation

Table 3: OECD Phillips Curves – LSDV Panel Estimation Results over Different Sample Periods
Variable Full sample 1971:Q2–1984:Q4 1985:Q1–2008:Q3 1971:Q2–1994:Q4 1995:Q1–2008:Q3
Coeff F-stat t-stat Coeff F-stat t-stat Coeff F-stat t-stat Coeff F-stat t-stat Coeff F-stat t-stat
ΔPt–1,…,t–4 0.61 250.78
[0.000]		     0.499 53.188
[0.000]		     0.613 143.66
[0.000]		     0.56 125.39
[0.000]		     0.439 20.86
[0.000]		  
Δulct,…,t–4 0.209 44.39
[0.000]		     0.217 16.37
[0.000]		     0.199 17.58
[0.000]		     0.223 32.29
[0.039]		     0.1 1.87
[0.1712]		  
Long-run 0.537       0.434       0.516       0.51       0.178    
Δmpt,…,t–4 0.079 62.76
[0.000]		     0.078 16.87
[0.000]		     0.088 56.51
[0.000]		     0.083 42.04
[0.000]		     0.101 25.86
[0.000]		  
Long-run 0.204       0.156       0.226       0.187       0.179    
ygapt 0.000359   3.41
[0.000]		   0.000624   2.81
[0.005]		   0.000245   2.07
[0.039]		   0.000378   2.79
[0.005]		   0.000342   1.96
[0.619]
Long-run 0.000921       0.001248       0.00063       0.000857       0.000609    
c 0.00139   3.54
[0.000]		   0.0046   3.92
[0.001]		   0.0006   1.64
[0.101]		   0.0027   4.29
[0.000]		   0.0009   1.65
[0.098]
Adjusted R2   0.757       0.658       0.605       0.725       0.511  
Standard error
of regression		   0.0058       0.0078       0.004       0.0067       0.0036  

Notes: Panel estimates based on least squares dummy variables (LSDV) estimated by instrumental variables (ygap instrumented by own lagged values); F-tests relate to exclusion tests of the parameters (p-values in square brackets); unbalanced panel based on nine OECD countries; country-specific fixed effects and seasonal dummies included

Sources: OECD; authors' calculations