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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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  • Theodore Panagiotidis

    ()
    (Loughborough University, UK, and Rimini Centre for Economic Analysis, Italy.)

  • Gianluigi Pelloni

    ()
    (University of Bologna and Rimini Centre for Economic Analysis, Italy.)

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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Bibliographic Info

Paper provided by The 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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Keywords: Non-linearity; Sectoral Shares;

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References

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Cited by:
  1. Theodore Panagiotidis & Gianluigi Pelloni, 2014. "Asymmetry and Lilien’s Sectoral Shifts Hypothesis: A Quantile Regression Approach," Working Paper Series 15_14, The Rimini Centre for Economic Analysis.
  2. G. Gallipoli & G. Pelloni, 2013. "Macroeconomic Effects of Job Reallocations: A Survey," Working Papers wp897, Dipartimento Scienze Economiche, Universita' di Bologna.
  3. Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Society for Computational Economics, vol. 43(2), pages 183-197, February.

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