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Dynamic Asymmetries in U.S. Unemployment

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  • Koop, Gary
  • Potter, Simon M

Abstract

The authors examine dynamic asymmetries in U.S. unemployment using nonlinear time series models and Bayesian methods. They find strong statistical evidence in favor of a two-regime threshold autoregressive model. Empirical results indicate that, once parameter and model uncertainty are both taken into account, there are economically interesting asymmetries in the unemployment rate. One finding of particular interest is that shocks that lower the unemployment rate tend to have a smaller effect than shocks that raise the unemployment rate. This finding is consistent with unemployment rises being sudden and falls gradual.

Suggested Citation

  • Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
  • Handle: RePEc:bes:jnlbes:v:17:y:1999:i:3:p:298-312
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    References listed on IDEAS

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    1. Brock, William A. & Sayers, Chera L., 1988. "Is the business cycle characterized by deterministic chaos?," Journal of Monetary Economics, Elsevier, pages 71-90.
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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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