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An Econometric Examination of the Trend Unemployment Rate in Canada

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Author Info

  • Cote, D.
  • Hostland, D.

Abstract

This paper attemps to identify the trend unemployment rate, an empirical concept, using cointegration theory.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-7.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 96-7.

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Length: 68 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:bca:bocawp:96-7

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Web page: http://www.bank-banque-canada.ca/

Related research

Keywords: UNEMPLOYMENT; ECONOMIC MODELS; COINTEGRATION;

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References

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  1. Jeroen J.M. Kremers & Neil R. Ericsson & Juan J. Dolado, 1992. "The power of cointegration tests," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 431, Board of Governors of the Federal Reserve System (U.S.).
  2. Alain Paquet, 1994. "A Guide to Applied Modern Macroeconometrics," Documents techniques CREFE / CREFE Technical Papers, CREFE, Université du Québec à Montréal 1, CREFE, Université du Québec à Montréal.
  3. Fortin, Pierre, 1984. "Unemployment insurance meets the classical labor supply model," Economics Letters, Elsevier, vol. 14(2-3), pages 275-281.
  4. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, Econometric Society, vol. 60(1), pages 107-18, January.
  5. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 942, Cowles Foundation for Research in Economics, Yale University.
  6. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  7. DeJong, David N, et al, 1992. "Integration versus Trend Stationarity in Time Series," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 423-33, March.
  8. Schmidt, P., 1988. "Dickey-Fuller Tests With Drift," Papers, Michigan State - Econometrics and Economic Theory 8717, Michigan State - Econometrics and Economic Theory.
  9. Layard, Richard & Nickell, Stephen & Jackman, Richard, 1991. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198284345, October.
  10. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  11. David Card, 1992. "A Comparative Analysis of Unemployment in Canada and the United States," Working Papers 677, Princeton University, Department of Economics, Industrial Relations Section..
  12. Setterfield, M.A. & Gordon, D.V. & Osberg, L., 1990. "Searching For A Will O'The Wisp: An Empirical Study Of The Nairu In Canada," Department of Economics at Dalhousie University working papers archive, Dalhousie, Department of Economics 90-04, Dalhousie, Department of Economics.
  13. Hansen, Bruce E, 2002. "Tests for Parameter Instability in Regressions with I(1) Processes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 45-59, January.
  14. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 757, Cowles Foundation for Research in Economics, Yale University.
  15. Ross D. Milbourne & Douglas D. & W. David Scoones, 1989. "Unemployment Insurance and Unemployment Dynamics," Working Papers, Queen's University, Department of Economics 750, Queen's University, Department of Economics.
  16. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 783-820, July.
  17. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers, Queen's University, Department of Economics 1227, Queen's University, Department of Economics.
  18. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  19. Coe, David T., 1989. "Structural Determinants of the Natural Rate of Unemployment in Canada," MPRA Paper 8623, University Library of Munich, Germany.
  20. Peter C.B. Phillips & Mico Loretan, 1989. "Estimating Long Run Economic Equilibria," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 928, Cowles Foundation for Research in Economics, Yale University.
  21. Pierre Duguay & Stephen Poloz, 1994. "The Role of Economic Projections in Canadian Monetary Policy Formulation," Canadian Public Policy, University of Toronto Press, vol. 20(2), pages 189-199, June.
  22. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 2(2), pages 111-120, July.
  23. Paquet, A., 1994. "A Guide to Applied Modern Macroeconometrics," Working Papers-Department of Finance Canada, Department of Finance Canada 1994-5, Department of Finance Canada.
  24. Ashenfelter, Orley & Card, David, 1986. "Why Have Unemployment Rates in Canada and the United States Diverged?," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 53(210(S)), pages S171-95, Supplemen.
  25. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, Elsevier, vol. 57(1-3), pages 53-68.
  26. Stephen S. Poloz, . "The Causes of Unemployment in Canada: A Review of the Evidence," Working Papers, Bank of Canada 94-11, Bank of Canada.
  27. Charles Adams & David T. Coe, 1990. "A Systems Approach to Estimating the Natural Rate of Unemployment and Potential Output for the United States," IMF Staff Papers, Palgrave Macmillan, vol. 37(2), pages 232-293, June.
  28. Stephen Poloz & David Rose & Robert Tetlow, 1994. "The Bank of Canada's new Quarterly Projection Model (QPM): An introduction," Bank of Canada Review, Bank of Canada, vol. 1994(Autumn), pages 23-38.
  29. repec:cup:etheor:v:7:y:1991:i:1:p:1-21 is not listed on IDEAS
  30. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics, EconWPA 9502005, EconWPA.
  31. Solow, Robert M, 1986. "Unemployment: Getting the Questions Right," Economica, London School of Economics and Political Science, London School of Economics and Political Science, vol. 53(210(S)), pages S23-34, Supplemen.
  32. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  33. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  34. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 8633, Universite de Montreal, Departement de sciences economiques.
  35. Topel, Robert, 1993. "What Have We Learned from Empirical Studies of Unemployment and Turnover?," American Economic Review, American Economic Association, vol. 83(2), pages 110-15, May.
  36. Armstrong, John & Black, Richard & Laxton, Douglas & Rose, David, 1998. "A robust method for simulating forward-looking models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(4), pages 489-501, April.
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Citations

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Cited by:
  1. Russell Barnett & Sharon Kozicki & Christopher Petrinec, 2009. "Parsing shocks: real-time revisions to gap and growth projections for Canada," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 247-266.
  2. Ben Smit & Le Roux Burrows, 2002. "Estimating potential output and output gaps for the South African economy," Working Papers 05/2002, Stellenbosch University, Department of Economics.
  3. St-Amant, P. & Tessier, D., 1998. "Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis," Working Papers, Bank of Canada 98-3, Bank of Canada.
  4. Pichette, Lise, 1998. "La politique monétaire a-t-elle des effets asymétriques sur l'emploi?," Working Papers, Bank of Canada 98-17, Bank of Canada.
  5. Sandra Hanson MCPHERSON & Oscar FLORES, 2012. "Provincial Disparities and Structural Unemployment in Canada," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 12(1), pages 25-42.

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