Are Unemployment Rates Nonstationary or Nonlinear? Evidence from 19 OECD Countries
AbstractThis study investigates the stationarity and linearity properties of unemployment rates in 17 OECD countries. We use a new unit root test developed by Kapetanios, Shin and Snell (2003) (KSS) which tests the joint null hypothesis of linearity and a unit root against a nonlinear stationary process. We reject the null hypothesis of a linear unit root so find evidence in support of the natural rate of unemployment for Belgium, Korea, Switzerland, USA, Netherlands and Poland and we unable to reject the null hypothesis of hysteresis for Australia, Austria, Canada, Finland, Germany, Japan, Luxembourg, Norway, Slovak Republic and Turkey according to the KSS test results.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2008)
Issue (Month): 47 ()
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Find related papers by JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- J0 - Labor and Demographic Economics - - General
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28887, University Library of Munich, Germany.
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- Chang, Tsangyao & Lee, Chia-Hao, 2011. "Hysteresis in Unemployment for G-7 Countries: Threshold Unit Root Test," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-14, December.
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- Lee, Cheng-Feng, 2010. "Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence," Economic Modelling, Elsevier, vol. 27(5), pages 1097-1102, September.
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