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Decision Support and Forecasting Center CEMI RAS |
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Econometrics and Its Applications
Structural Changes in Russian Inflation Model
Boris Brodsky, Alexander Bereznyatskiy
Hypothesis of structural changes in regression models of Russian inflation is tested in the paper. Application of the nonparametric retrospective change-point detection method (Brodsky, 2006) to regressions, calibrated for price indexes in Russia with period 1995.1 – 2011.12, gives some change points which can be classified by corresponding events in Russian economy at the time such as crisis of 1998, Tax Legislation reforms of 2000 and so on. Keywords: break-point; structural changes; inflation; nonparametric; non-stationary; Russian economy VIII-th International School-Seminar "Multivariate Statistical Analysis and Econometrics" TSAHKADZOR (Armenia) June-July 2012
(494 K Russian version)
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