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In this paper, we re-examine the change in persistence hypothesis for inflation, using data from Noriega et al. (Empir Econ 44:1243–1265, 2013) and the new testing procedures by Kejriwal et al. (Econom Theory 29:289–323, 2013). Our results display more evidence of change in persistence than Noriega et al.'s paper, with some remarkable conflicting conclusions with respect to their work, although results depend on the measure of inflation: seasonally adjusted, trend-cycle component or interannual. [ABSTRACT FROM AUTHOR]

This article revisits the empirical analysis in Cecchetti et al. (Int Econ Rev 43:1081-1099, 2002) involving long-span U.S. city prices, who estimated the persistence of U.S. price differentials to be around 9 years. After controlling for the structural breaks in the data, we find that U.S. city price level differentials are I(0) stationary processes with the median half-life of convergence ranged between 1.5 and 2.6 years, estimates that are in accordance with what should be expected from a highly integrated economy as the United States. Our results are also robust to a pairwise test of price level convergence. [ABSTRACT FROM AUTHOR]

Existence of persistent price dispersion suggests that some buyers find lower prices through search and information acquisition, while some sellers charge higher prices by gathering information on potential buyers. If buyers are not fully informed of the lowest price available in the market they end up paying a price higher than if they had full information. Similarly, if sellers are not fully informed about the highest price they could charge, they too suffer by receiving a price lower than had they had full information. This paper develops a hedonic price model that incorporates the effects of incomplete information on both sides of the market and obtains estimates of the discrepancies between market prices and buyers’ maximum willingness to pay and sellers’ minimum willingness to accept. Correlates of such price discrepancies are also explored. We apply the technique to a data set constructed from the American Housing Survey, and find that incomplete information has had a significant impact on housing prices. [ABSTRACT FROM AUTHOR]