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Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance

Author

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  • Petre CARAIANI

    (Institute for Economic Forecasting, Romanian Academy, Calea 13 Septembrie no. 13, Bucharest)

Abstract

We discuss the application of a new test for nonlinearity for economic time series. We apply the test for several monthly unemployment series from the developed economies. We find nonlinearities in the unemployment for most of the European economies, but not for US, UK or Japan.

Suggested Citation

  • Petre CARAIANI, 2015. "Testing For Nonlinearity In Unemployment Rates Via Delay Vector Variance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 81-92, March.
    • Handle: RePEc:rjr:romjef:v::y:2015:i:1:p:81-92
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    References listed on IDEAS

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    More about this item

    Keywords

    nonlinearity; surrogate data; rank test; time reversal; unemployment;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • 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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