OECD unemployment: structural breaks and stationarity
AbstractThe paper is concerned with testing the unemployment rate of twenty two OECD countries for stationarity. A sequential testing procedure was applied where the break data is endogenized. Three different models were tested for unit roots. It was found that the 'crash' model, which allows for a shift in the level of the unemployment rate, was most relevant. Furthermore, most breaks were associated with the first oil price shock. Results suggest that in nine countries the unit root can be rejected, in ten countries the null hypothesis cannot be rejected and in three cases the results suggest possible trend stationarity.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 32 (2000)
Issue (Month): 4 ()
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- Uwe Hassler & Jürgen Wolters, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(2-3), pages 119-129, June.
- BATTISTI,Michele, 2006. "Assessing persistence in the Italian rate of unemployment in presence of structural breaks and regional asymmetries, 1977 to 2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
- Magnus Gustavsson & Pär Österholm, 2010. "The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?," Empirical Economics, Springer, vol. 38(3), pages 779-792, June.
- Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Puah, Chin-Hong, 2009. "Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests," MPRA Paper 9915, University Library of Munich, Germany.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
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