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Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests

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  • Zarina Oflaz

    (Middle East Technical University, nukesh.zar@mail.ru.)

Abstract

We have checked whether there exists hysteresis hypothesis in 25 OECD countries covering the period from September, 1983 to September,2013 by using the unit root test which includes nonlinearity and structural break in their testing process. In particular, LNV test proposed by Leybourne, Newbold and Vougas (1998), EG test developed by Enders and Granger (1998), the nonlinear KSS unit root test of Kapetanios et al., (2003), Sollis’ (2009) test, combined KSS-LNV test developed by Omay and Yildirim (2014), combined LNV-Sollis test by Omay et al (2017), modified unit root test with Fractional Frequency Flexible Fourier Form by Omay (2015) and EST test by Corakcý et al., (2017).

Suggested Citation

  • Zarina Oflaz, 2017. "Structural Break, Nonlinearity and the Hysteresis hypothesis: Evidence from new unit root tests," Econometrics Letters, Bilimsel Mektuplar Organizasyonu (Scientific letters), vol. 4(2), pages 1-16.
    • Handle: RePEc:bmo:bmoart:v:4:y:2017:i:2:p:1-16
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    More about this item

    Keywords

    Hysteresis hypothesis; Structural Break; Nonlinearity.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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