Are Unemployment Rates Nonstationary or Nonlinear? Evidence from 19 OECD Countries

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Are Unemployment Rates Nonstationary or Nonlinear? Evidence from 19 OECD Countries

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Veli YILANCI () (Istanbul University, Faculty of Economics, Department of Econometrics)

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Veli Yilanci

Abstract

This 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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Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 47 ()
Pages: 1-5
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Handle: RePEc:ebl:ecbull:v:3:y:2008:i:47:p:1-5

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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

References listed on IDEAS
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Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
Edmund S. Phelps, 1968. "Money-Wage Dynamics and Labor-Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 76, pages 678. [Downloadable!] (restricted)
Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February. [Downloadable!] (restricted)

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," The School of Economics Discussion Paper Series 0915, Economics, The University of Manchester. [Downloadable!]

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This page was last updated on 2009-12-12.

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