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Non-Linearity In The Canadian And Us Labour Markets: Univariate And Multivariate Evidence From A Battery Of Tests

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Author Info
Theodore Panagiotidis () (Loughborough University, UK, and Rimini Centre for Economic Analysis, Italy.)
Gianluigi Pelloni () (University of Bologna and Rimini Centre for Economic Analysis, Italy.)

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Abstract

The assumption of linearity is tested using five statistical tests for the US and Canadian unemployment rates, growth rates of the sectoral shares of construction, finance, manufacturing and trade sectors. An AR(p) model was used to remove any linear structure from the series. Evidence of non-linearity is found for the sectoral shares with all five statistical tests in the US case but not in the aggregate level. The results for Canada are not so clear-cut. Evidence of unspecified non-linearity is found in the unemployment rate and in the sectoral shares. Overall important asymmetries are found in disaggregated labour market variables in the univariate setting. The linearity hypothesis was also examined in a multivariate framework. Evidence is provided that important asymmetries exist and a linear VAR cannot capture the dynamics of employment reallocation.

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Paper provided by Rimini Centre for Economic Analysis in its series Working Paper Series with number 06-07.

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Date of creation: Jul 2007
Date of revision: Jul 2007
Handle: RePEc:rim:rimwps:06-07

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Related research
Keywords: Non-linearity Sectoral Shares

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution

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    Other versions:
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  3. Frank, Murray & Sayers, Chera & Stengos, Thanasis, 1993. "Evidence concerning non-linear structure in Canadian provincial unemployment rates," Structural Change and Economic Dynamics, Elsevier, vol. 4(2), pages 333-343, December. [Downloadable!] (restricted)
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  19. Theodore Panagiotidis & Gianluigi Pelloni & Wolfgang Polasek, 2003. "Macroeconomic Effects of Reallocation Shocks: A generalised impulse response function analysis for three European countries," Discussion Paper Series 2003_15, Department of Economics, Loughborough University, revised 2003. [Downloadable!]
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