Journal of Economic Dynamics & Control 31 (2007) 1326–1358 The persistence of inflation in the United States Frederic Pivetta, Ricardo Reis à McKinsey & Company and Princeton University, 324 Bendheim Hall, Princeton University, Princeton, NJ 08544, USA Received 11 August 2004; accepted 14 April 2006 Available online 18 July 2006 Abstract Has the persistence of inflation in the United States changed since 1965? We estimate the persistence of inflation over time using different measures and estimation procedures and we produce confidence intervals for our estimates as well as formal tests of unchanged persistence. We find that inflation persistence has been high and approximately unchanged in the U.S. over our sample period. We reconcile our results with other studies that reached different conclusions. r 2006 Elsevier B.V. All rights reserved. JEL classification: E31; C22; C11 Keywords: Inflation persistence; Bayesian time-varying parameters; Median unbiased estimates; Structural stability 1. Introduction While inflation is an important macroeconomic variable that has received much attention, there is still controversy on its properties. This paper is a contribution to the measurement over time of a key property of inflation: its persistence. We start our investigation by estimating a Bayesian non-linear model of inflation dynamics and using it to provide a time series for inflation persistence in ARTICLE IN PRESS www.elsevier.com/locate/jedc 0165-1889/$ - see front matter r 2006 Elsevier B.V. All rights reserved. doi:10.1016/j.jedc.2006.05.001 à Corresponding author. Tel.: +1 609 258 8531. E-mail address: rreis@princeton.edu (R. Reis).