The paper studies how a prolonged period of subdued price developments may induce a de-anchoring of inflation expectations from the central bank's objective. This is shown within a framework where agents form expectations using adaptive learning, choosing among a set of alternative forecasting...

This article modifies and extends the test against nonstationary stochastic seasonality proposed by Canova and Hansen. A simplified form of the test statistic in which the nonparametric correction for serial correlation is based on estimates of the spectrum at the seasonal frequencies is...

This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with...