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Unit root in unemployment - new evidence from nonparametric tests

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  • Jurgen Holl
  • Robert Kunst

Abstract

We apply Range Unit Root (RUR) tests to Organization for Economic Co-operation and Development (OECD) unemployment rates and compare the results to conventional tests. By simulations, we find that unemployment is represented adequately by a new nonlinear transformation of a serially correlated I(1) process.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 18 (2011)
Issue (Month): 6 ()
Pages: 509-512

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Handle: RePEc:taf:apeclt:v:18:y:2011:i:6:p:509-512

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  1. Felipe Aparicio & Alvaro Escribano & Ana E. Sipols, 2006. "Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 545-576, 07.
  2. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  3. Magnus Gustavsson & Par Osterholm, 2006. "Hysteresis and non-linearities in unemployment rates," Applied Economics Letters, Taylor & Francis Journals, vol. 13(9), pages 545-548.
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