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OECD unemployment: structural breaks and stationarity

  • Philip Arestis
  • Iris Biefang-Frisancho Mariscal

The paper is concerned with testing the unemployment rate of twenty two OECD countries for stationarity. A sequential testing procedure was applied where the break data is endogenized. Three different models were tested for unit roots. It was found that the 'crash' model, which allows for a shift in the level of the unemployment rate, was most relevant. Furthermore, most breaks were associated with the first oil price shock. Results suggest that in nine countries the unit root can be rejected, in ten countries the null hypothesis cannot be rejected and in three cases the results suggest possible trend stationarity.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/000368400322570
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Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 32 (2000)
Issue (Month): 4 ()
Pages: 399-403

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Handle: RePEc:taf:applec:v:32:y:2000:i:4:p:399-403
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