Bayesian evidence on the structure of unemployment
AbstractThis paper presents a Bayesian assessment of the likelihood of unit roots in the unemployment rates of 16 OECD countries. Bayesian techniques for detecting multiple structural breaks in time series have recently been developed by Wang and Zivot (2000). I apply these tests to a data set recently analyzed by Papell et al (2000). I also treat the number of structural breaks as an additional parameter to be estimated. I fin virtually no support for unit root hysteresis in OECD unemployment rates; this result is very robust to the choice of prior.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 83 (2004)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Peter M. Summers, 2003. "Bayesian Evidence on the Structure of Unemployment," Melbourne Institute Working Paper Series wp2003n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
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