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Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?

Author

Listed:
  • Amélie Charles

    (Audencia Recherche - Audencia Business School)

  • Olivier Darné

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IUML - FR 3473 Institut universitaire Mer et Littoral - ECN - École Centrale de Nantes - UN - Université de Nantes - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - CNRS - Centre National de la Recherche Scientifique - UA - Université d'Angers - UM - Le Mans Université - UBS - Université de Bretagne Sud - ONIRIS - École nationale vétérinaire, agroalimentaire et de l'alimentation Nantes-Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes - IMT Atlantique - IMT Atlantique Bretagne-Pays de la Loire - IMT - Institut Mines-Télécom [Paris])

  • Fabien Tripier

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - IUML - FR 3473 Institut universitaire Mer et Littoral - ECN - École Centrale de Nantes - UN - Université de Nantes - IFREMER - Institut Français de Recherche pour l'Exploitation de la Mer - CNRS - Centre National de la Recherche Scientifique - UA - Université d'Angers - UM - Le Mans Université - UBS - Université de Bretagne Sud - ONIRIS - École nationale vétérinaire, agroalimentaire et de l'alimentation Nantes-Atlantique - IEMN-IAE Nantes - Institut d'Économie et de Management de Nantes - Institut d'Administration des Entreprises - Nantes - UN - Université de Nantes - IMT Atlantique - IMT Atlantique Bretagne-Pays de la Loire - IMT - Institut Mines-Télécom [Paris])

Abstract

This article compares the performances of some non-stationarity tests on simulated series, using the business-cycle model of Chang et al. (2007) [Y. Chang, T. Doh, F. Schorfheide, (2007). Non-stationary Hours in a DSGE Model. Journal of Money, Credit and Banking 39, 357-1373] as data generating process. Overall, Monte Carlo simulations show that the efficient unit root tests of Ng and Perron (2001) [Ng, S., Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica 69, 1519-1554] are more powerful than the standard non-stationarity tests (ADF and KPSS). More precisely, these efficient tests are able to reject frequently the unit-root hypothesis on simulated series using the best specification of business-cycle model found by Chang et al. (2007), in which hours worked are stationary with adjustment costs.

Suggested Citation

  • Amélie Charles & Olivier Darné & Fabien Tripier, 2010. "Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?," Working Papers hal-00527122, HAL.
  • Handle: RePEc:hal:wpaper:hal-00527122
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00527122
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    References listed on IDEAS

    as
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    Keywords

    unit root rest; DSGE models; hours worked;
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