Modelling the behaviour of unemployment rates in the US over time and across space
Abstract This paper provides evidence that unemployment rates across US states are stationary and therefore behave according to the natural rate hypothesis. We provide new insights by considering the effect of key variables on the speed of adjustment associated with unemployment shocks. A highly-dimensional VAR analysis of the half-lives associated with shocks to unemployment rates in pairs of states suggests that distance between states and vacancy rates respectively exert a positive and negative influence. We find that higher homeownership rates do not lead to higher half-lives. When the symmetry assumption is relaxed through quantile regression, support for the Oswald hypothesis through a positive relationship between homeownership rates and half-lives is found at the higher quantiles.
|Date of creation:||Jul 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://erf.ku.edu.tr
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clemente, Jesus & Lanaspa, Luis & Montañés, Antonio, 2002.
"The unemployment structure of the US States,"
ERSA conference papers
ersa02p081, European Regional Science Association.
- repec:hal:journl:hal-00287137 is not listed on IDEAS
- Donggyu Sul & Peter C.B. Phillips & Choi, Chi-Young, 2003.
"Prewhitening Bias in HAC Estimation,"
Cowles Foundation Discussion Papers
1436, Cowles Foundation for Research in Economics, Yale University.
- Goldberg, Pinelopi & Verboven, Frank, 2001.
"Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market,"
CEPR Discussion Papers
2926, C.E.P.R. Discussion Papers.
- Goldberg, Pinelopi K. & Verboven, Frank, 2005. "Market integration and convergence to the Law of One Price: evidence from the European car market," Journal of International Economics, Elsevier, vol. 65(1), pages 49-73, January.
- Pinelopi K. Goldberg & Frank Verboven, 2001. "Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market," NBER Working Papers 8402, National Bureau of Economic Research, Inc.
- Karim Abadir & Giovanni Caggiano & Gabriel Talmain, 2005.
"Nelson-Plosser Revisited: the ACF Approach,"
2005_7, Business School - Economics, University of Glasgow.
- Munch, Jakob Roland & Rosholm, Michael & Svarer, Michael, .
"Are Home Owners Really More Unemployed?,"
Economics Working Papers
2003-15, School of Economics and Management, University of Aarhus.
- Munch, Jakob R. & Rosholm, Michael & Svarer, Michael, 2003. "Are Home Owners Really More Unemployed?," IZA Discussion Papers 872, Institute for the Study of Labor (IZA).
- Michael Svarer & Michael Rosholm & Jacob Roland Munch, 2003. "Are Home Owners Really more Unemployed?," CAM Working Papers 2003-09, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Andrew Glyn & Robert Rowthorn, 2002. "Convergence and Stability in US Regional Employment," Economics Series Working Papers 92, University of Oxford, Department of Economics.
- Pesaran, M.H., 2004.
"‘General Diagnostic Tests for Cross Section Dependence in Panels’,"
Cambridge Working Papers in Economics
0435, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," IZA Discussion Papers 1240, Institute for the Study of Labor (IZA).
- M. Hashem Pesaran, 2004. "General Diagnostic Tests for Cross Section Dependence in Panels," CESifo Working Paper Series 1229, CESifo Group Munich.
- Giulietti, Monica & Otero, Jesús & Smith, Jeremy, 2006.
"Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence,"
The Warwick Economics Research Paper Series (TWERPS)
771, University of Warwick, Department of Economics.
- Giulietti, Monica & Otero, Jesús & Smith, Jeremy, 2008. "Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence," Economics Letters, Elsevier, vol. 101(3), pages 188-192, December.
- Leon-Ledesma, Miguel A, 2002. "Unemployment Hysteresis in the US States and the EU: A Panel Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 95-103, April.
- Pesaran, M.H., 2003.
"A Simple Panel Unit Root Test in the Presence of Cross Section Dependence,"
Cambridge Working Papers in Economics
0346, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Kaddour Hadri & Yao Rao, 2006.
"Panel Stationarity Test with Structural Breaks,"
200615, University of Liverpool Management School.
- Seong, Byeongchan & Mahbub Morshed, A.K.M. & Ahn, Sung K., 2006. "Additional sources of bias in half-life estimation," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2056-2064, December.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Nathalie Havet & Alexis Penot, 2010.
"Does Home ownership Harm Labour Market Performances? A Survey,"
- Nathalie Havet & Alexis Penot, 2010. "Does Homeownership Harm Labour Market Performances? A Survey," Working Papers 1012, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
- Tsangyao Chang & Kuei-Chiu Lee & Chien-Chung Nieh & Ching-Chun Wei, 2005. "An empirical note on testing hysteresis in unemployment for ten European countries: panel SURADF approach," Applied Economics Letters, Taylor & Francis Journals, vol. 12(14), pages 881-886.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometric Society, vol. 64(4), pages 813-36, July.
- Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- James Payne & Bradley Ewing & Erik George, 1999. "Time series dynamics of US State unemployment rates," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1503-1510.
- Josep Carrion-i-Silvestre & Andreu Sansó, 2006. "A guide to the computation of stationarity tests," Empirical Economics, Springer, vol. 31(2), pages 433-448, June.
- Henry S. Farber, 2012. "Unemployment in the Great Recession: Did the Housing Market Crisis Prevent the Unemployed from Moving to Take Jobs?," American Economic Review, American Economic Association, vol. 102(3), pages 520-25, May.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Chalmers, James A & Greenwood, Michael J, 1985. "The Regional Labor Market Adjustment Process: Determinants of Changes in Rates of Labor Force Participation, Unemployment, and Migration," The Annals of Regional Science, Springer, vol. 19(1), pages 1-17, March.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Cheng, Ka Ming & Durmaz, Nazif & Kim, Hyeongwoo & Stern, Michael L., 2012.
"Hysteresis vs. natural rate of US unemployment,"
Elsevier, vol. 29(2), pages 428-434.
- Rowthorn Robert & Glyn Andrew J, 2006. "Convergence and Stability in U.S. Employment Rates," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(1), pages 1-43, April.
- Coulson, N. Edward & Fisher, Lynn M., 2009. "Housing tenure and labor market impacts: The search goes on," Journal of Urban Economics, Elsevier, vol. 65(3), pages 252-264, May.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Jesús Otero & Jeremy Smith, 2013. "Response Surface Estimates of the Cross-Sectionally Augmented IPS Tests for Panel Unit Roots," Computational Economics, Society for Computational Economics, vol. 41(1), pages 1-9, January.
- Mark Partridge & Dan Rickman, 1997. "The Dispersion of US State Unemployment Rates: The Role of Market and Non-market Equilibrium Factors," Regional Studies, Taylor & Francis Journals, vol. 31(6), pages 593-606.
- Song, Frank M & Wu, Yangru, 1997. "Hysteresis in Unemployment: Evidence from 48 U.S. States," Economic Inquiry, Western Economic Association International, vol. 35(2), pages 235-43, April.
- Cover, James P. & Mallick, Sushanta K., 2012. "Identifying sources of macroeconomic and exchange rate fluctuations in the UK," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1627-1648.
- Thomas Garrett & Gary Wagner & David Wheelock, 2007. "Regional disparities in the spatial correlation of state income growth, 1977–2002," The Annals of Regional Science, Springer, vol. 41(3), pages 601-618, September.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Adela Nistor, 2009. "Assessing the Effectiveness of Human Capital Investments on the Regional Unemployment Rate in the United States: 1990 and 2000," International Regional Science Review, , vol. 32(1), pages 65-91, January.
When requesting a correction, please mention this item's handle: RePEc:koc:wpaper:1315. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sumru Oz)
If references are entirely missing, you can add them using this form.