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Unit Root in Unemployment - New Evidence from Nonparametric Tests

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We apply range unit-root tests to OECD unemployment rates and compare the results to conventional tests. By simulations, we nd that unemployment is represented adequately by a new nonlinear transformation of a serially-correlated I(1) process.

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File URL: http://homepage.univie.ac.at/Papers.Econ/RePEc/vie/viennp/vie0915.pdf
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Paper provided by University of Vienna, Department of Economics in its series Vienna Economics Papers with number 0915.

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Date of creation: Oct 2009
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Handle: RePEc:vie:viennp:0915

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Web page: http://www.univie.ac.at/vwl

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  1. Felipe Aparicio & Alvaro Escribano & Ana E. Sipols, 2006. "Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 545-576, 07.
  2. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
  3. Magnus Gustavsson & Par Osterholm, 2006. "Hysteresis and non-linearities in unemployment rates," Applied Economics Letters, Taylor & Francis Journals, vol. 13(9), pages 545-548.
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