Advanced Search
MyIDEAS: Login to save this article or follow this journal

Unemployment hysteresis in Australia: evidence using nonlinear and stationarity tests with breaks

Contents:

Author Info

  • Aviral Tiwari

    ()

Abstract

This study is an attempt to test the hysteresis versus the natural rate hypothesis in unemployment rate using time series data of the Australia covering the period 1978: 2–2010:12. For the analysis, we employed nonlinear as well as different linear tests (with incorporation of endogenously determined structural breaks) of unit root. We found that the Australian unemployment rate is nonlinear process, has a partial unit root and trend reverting. Therefore, we provide support for the structuralist hypothesis. This finding provides the importance of accounting for exogenous shocks in the series and gives support to the shifting natural-rate hypothesis of the Australian unemployment rate. Copyright Springer Science+Business Media Dordrecht 2014

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1007/s11135-012-9795-z
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Quality & Quantity.

Volume (Year): 48 (2014)
Issue (Month): 2 (March)
Pages: 681-695

as in new window
Handle: RePEc:spr:qualqt:v:48:y:2014:i:2:p:681-695

Contact details of provider:
Web page: http://www.springer.com/economics/journal/11135

Order Information:
Web: http://link.springer.de/orders.htm

Related research

Keywords: Unemployment rate; Hysteresis; Threshold autoregressive model; Nonlinear unit root; Structural breaks;

References

References listed on IDEAS
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.:
as in new window
  1. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis And The European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90 National Bureau of Economic Research, Inc.
  2. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  3. By Knut Røed, 2002. "Unemployment hysteresis and the natural rate of vacancies," Empirical Economics, Springer, vol. 27(4), pages 687-704.
  4. Olivier Blanchard & Justin Wolfers, 1999. "The Role of Shocks and Institutions in the Rise of European Unemployment: The Aggregate Evidence," NBER Working Papers 7282, National Bureau of Economic Research, Inc.
  5. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Non-linearities and fractional integration in the US unemployment rate," HWWA Discussion Papers 259, Hamburg Institute of International Economics (HWWA).
  6. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  7. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  8. Vogelsang, T.J. & Perron, P., 1994. "Additional Tests for a Unit Root Allowing for a Break in the Trend Function at an Unknown Time," Cahiers de recherche 9422, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  9. Edmund S. Phelps, 1999. "Behind This Structural Boom: The Role of Asset Valuations," American Economic Review, American Economic Association, vol. 89(2), pages 63-68, May.
  10. Brunello, Giorgio, 1990. "Hysteresis and "The Japanese Unemployment Problem": A Preliminary Investigation," Oxford Economic Papers, Oxford University Press, vol. 42(3), pages 483-500, July.
  11. Layard, Richard & Nickell, Stephen & Jackman, Richard, 2005. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, number 9780199279173, September.
  12. Paresh Kumar Narayan & Stephan Popp, 2010. "A new unit root test with two structural breaks in level and slope at unknown time," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1425-1438.
  13. José Cancelo, 2007. "Cyclical Asymmetries in Unemployment Rates: International Evidence," International Advances in Economic Research, Springer, vol. 13(3), pages 334-346, August.
  14. Jakob Madsen & Vinod Mishra & Russell Smyth, 2008. "Are Labour Force Participation Rates Non-Stationary? Evidence From 130 Years For G7 Countries ," Australian Economic Papers, Wiley Blackwell, vol. 47(2), pages 166-189, 06.
  15. Veli YILANCI, 2008. "Are Unemployment Rates Nonstationary or Nonlinear? Evidence from 19 OECD Countries," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-5.
  16. 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.
  17. Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
  18. Junsoo Lee & Mark C. Strazicich, 2003. "Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089, November.
  19. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
  20. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  21. Ucar, Nuri & Omay, Tolga, 2009. "Testing for unit root in nonlinear heterogeneous panels," Economics Letters, Elsevier, vol. 104(1), pages 5-8, July.
  22. Edmund S. Phelps, 1968. "Money-Wage Dynamics and Labor-Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 76, pages 678.
  23. Dipak Ghosh & Swarna (Bashu) Dutt, . "Nonstationarity and Nonlinearity in the US Unemployment Rate: A Re-examination," Journal for Economic Educators, Middle Tennessee State University, Business and Economic Research Center.
  24. Lee, Junsoo & Strazicich, Mark C, 2001. " Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-58, December.
  25. George Kapetanios, 2005. "Unit-root testing against the alternative hypothesis of up to m structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 123-133, 01.
  26. Magnus Gustavsson & Par Osterholm, 2006. "Hysteresis and non-linearities in unemployment rates," Applied Economics Letters, Taylor & Francis Journals, vol. 13(9), pages 545-548.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:spr:qualqt:v:48:y:2014:i:2:p:681-695. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.