Bayesian evidence on the structure of unemployment
This paper presents a Bayesian assessment of the likelihood of unit roots in the unemployment rates of 16 OECD countries. Bayesian techniques for detecting multiple structural breaks in time series have recently been developed by Wang and Zivot (2000). I apply these tests to a data set recently analyzed by Papell et al (2000). I also treat the number of structural breaks as an additional parameter to be estimated. I fin virtually no support for unit root hysteresis in OECD unemployment rates; this result is very robust to the choice of prior.
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- David H. Papell & Christian J. Murray & Hala Ghiblawi, 2000. "The Structure of Unemployment," The Review of Economics and Statistics, MIT Press, vol. 82(2), pages 309-315, May.
- John Geweke, 1999.
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- Wang, Jiahui & Zivot, Eric, 2000. "A Bayesian Time Series Model of Multiple Structural Changes in Level, Trend, and Variance," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 374-86, July.
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- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139, March.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.
- Christopher A. Sims & Harald Uhlig, 1988.
"Understanding unit rooters: a helicopter tour,"
Discussion Paper / Institute for Empirical Macroeconomics
4, Federal Reserve Bank of Minneapolis.
- Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August.
- repec:cup:etheor:v:10:y:1994:i:3-4:p:645-71 is not listed on IDEAS
- Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.
- Han C. & Carlin B. P., 2001. "Markov Chain Monte Carlo Methods for Computing Bayes Factors: A Comparative Review," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1122-1132, September.
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