Markov switching in disaggregate unemployment rates
AbstractWe develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments can account for a great deal of the secular change in the unemployment rate, particularly the abrupt increase in the 1970s and 1980s and the subsequent decrease.
Download InfoIf 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.
Bibliographic InfoPaper provided by Federal Reserve Bank of New York in its series Staff Reports with number 132.
Date of creation: 2001
Date of revision:
Other versions of this item:
- Chinhui Juhn & Simon Potter & Marcelle Chauvet, 2002. "Markov switching in disaggregate unemployment rates," Empirical Economics, Springer, vol. 27(2), pages 205-232.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
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.:
- Koop, Gary & Potter, Simon M., 1998. "Bayes factors and nonlinearity: Evidence from economic time series1," Journal of Econometrics, Elsevier, vol. 88(2), pages 251-281, November.
- Abbring, Jaap H. & Berg, Gerard J. van den & Ours, Jan C. van, 1997.
"Business cycles and compositional variation in U.S. unemployment,"
Serie Research Memoranda
0020, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Abbring, Jaap H & van den Berg, Gerard J & van Ours, Jan C, 2001. "Business Cycles and Compositional Variation in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 436-48, October.
- Jaap H. Abbring & Gerard J. van den Berg & Jan C. van Ours, 1997. "Business Cycles and Compositional Variation in U.S. Unemployment," Tinbergen Institute Discussion Papers 97-050/3, Tinbergen Institute.
- Abbring, Jaap H & van den Berg, Gerard J & van Ours, Jan C, 1997. "Business Cycles and Compositional Variation in US Unemployment," CEPR Discussion Papers 1702, C.E.P.R. Discussion Papers.
- Abbring, J.H. & Berg, G. van den & Ours, J.C. van, 1999. "Business Cycles and Compositional Variation in U.S. Unemployment," Discussion Paper 1999-65, Tilburg University, Center for Economic Research.
- John Geweke, 1998.
"Using simulation methods for Bayesian econometric models: inference, development, and communication,"
249, Federal Reserve Bank of Minneapolis.
- John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 1-73.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Anders Vredin & Anders Warne, 2000.
"Unemployment and Inflation Regimes,"
Econometric Society World Congress 2000 Contributed Papers
0984, Econometric Society.
- Francis X. Diebold & Glenn D. Rudebusch, 1994.
"Measuring Business Cycles: A Modern Perspective,"
NBER Working Papers
4643, National Bureau of Economic Research, Inc.
- Chauvet, Marcelle, 1998. "An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 969-96, November.
- Kim, Chang-Jin, 1994.
"Dynamic linear models with Markov-switching,"
Journal of Econometrics,
Elsevier, vol. 60(1-2), pages 1-22.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Robert J. Gordon, 1982. "Inflation, Flexible Exchange Rates, and the Natural Rate of Unemployment," NBER Working Papers 0708, National Bureau of Economic Research, Inc.
- Chib, Siddhartha, 2001. "Markov chain Monte Carlo methods: computation and inference," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 57, pages 3569-3649 Elsevier.
- Skalin, Joakim & Teräsvirta, Timo, 1998.
"Modelling asymmetries and moving equilibria in unemployment rates,"
Working Paper Series in Economics and Finance
262, Stockholm School of Economics, revised 05 Oct 1998.
- Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
- Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-41, April.
- Chinhui Juhn & Kevin M. Murphy & Robert H. Topel, 1991. "Why Has the Natural Rate of Unemployment Increased over Time?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(2), pages 75-142.
- Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
- Boldin, Michael D, 1994. "Dating Turning Points in the Business Cycle," The Journal of Business, University of Chicago Press, vol. 67(1), pages 97-131, January.
- Hamilton, James D., 2003. "Comment on "A comparison of two business cycle dating methods"," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1691-1693, July.
- Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012. "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2464-2480.
- José Cancelo, 2007. "Cyclical Asymmetries in Unemployment Rates: International Evidence," International Advances in Economic Research, Springer, vol. 13(3), pages 334-346, August.
- Michael J. Dueker & Michael T. Owyang & Martin Sola, 2010. "A time-varying threshold STAR model of unemployment and the natural rate," Working Papers 2010-029, Federal Reserve Bank of St. Louis.
- Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Amy Farber).
If references are entirely missing, you can add them using this form.