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Les tests de racine unitaire et les modèles Arch : application au taux de chômage

  • Jamel Trabelsi
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    [fre] Les tests de racine unitaire et les modèles Arch : application au taux de chômage . par Jamel Trabelsi . d'informations sur le marché du travail sont prises en compte. Sur la base des conclusions avancées par Kim et Schmidt, selon lesquelles l'hypothèse nulle de racine unitaire est rejetée en présence d'effets Arch sous certaines conditions (processus intégré et dégénéré), nous élaborons une approche économétrique fondée sur les tests de Dickey et Fuller avec des perturbations Garch. Nous montrons que, pour les principaux pays européens, le taux de chômage est persistant. L'existence d'un tel effet pourrait être expliquée par la persistance des chocs de volatilité. [eng] Unit Root Tests and ARCH Models: Unemployment Rate Applications . by Jamel Trabelsi . We propose to test for the effects of hysteresis, or the persistence of the unemployment rate in the leading industrialised countries. We use a procedure based on Phillips curves that incorporates imperfections in labour market information to justify the possible emergence of such phenomena. We have developed an econometric approach based on Dickey and Fuller Tests with GARCH disturbances on the basis of the conclusions put forward by Kim and Schmidt, which state that the null hypothesis for the unit root is rejected when there are ARCH effects under certain conditions, such as an integrated and degenerated process. We show that the unemployment rate is persistent in the leading European countries. This effect may be explained by the persistence of volatility shocks.

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 131 (1997)
    Issue (Month): 5 ()
    Pages: 177-190

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1997_num_131_5_5893
    Note: DOI:10.3406/ecop.1997.5893
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    1. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis in Unemployment," NBER Working Papers 2035, National Bureau of Economic Research, Inc.
    2. Kim, Kiwhan & Schmidt, Peter, 1993. "Unit root tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 59(3), pages 287-300, October.
    3. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
    4. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," Working papers 427, Massachusetts Institute of Technology (MIT), Department of Economics.
    5. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(03), pages 318-334, September.
    6. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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