Hysteresis In Unemployment: Panel Unit Roots Tests Using State Level Data

Mohan, Ramesh; Kemegue, Francis; Sjuib, Fahlino

doi:10.19030/jber.v6i2.2390

Cited by 5 publications

(4 citation statements)

References 19 publications

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“…and Summers (1986), Camarero and Tamarit (2004), Caner and Hansen (2001), Chang and Lee (2011), Jaeger. and Parkinson (1994), Gil-Alana (2001, Lee and Chang (2008), Leon-Ledesma (2002), Lee (2010), Lin., Kuon, and Yuan (2008), Mohan. et al (2008, Roed (1996), Song and Wu (1998) and Yilanci (2008), who found supportive evidence of the natural rate hypothesis for the US labour market.…”

Section: Results From Empirical Analysismentioning

confidence: 99%

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Testing the hysteresis effect in the US state-level unemployment series

Omay

Özcan

Shahbaz

2020

Journal of Applied Economics

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This paper re-examines the stochastic time series behaviour of the monthly unemployment rate in 50 states of the United States (US) for the period 1976-2017 using a number of state-of-the-art unit root tests. The new developments incorporate structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and separate the stationary and nonstationary series in the sample. The empirical findings are in support of the stationarity of unemployment rate in 47 states. The findings confirm a natural rate hypothesis for the labour markets in the most US states, indicating that labour market shocks have solely temporary effects on state-level unemployment. This empirical study provides significant state-specific policy implications.

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Section: Results From Empirical Analysismentioning

confidence: 99%

“…Their results provided evidence in favour of regime-wise stationarity in the US state unemployment rates. Using a number of first-generation panel unit root tests, Mohan. et al (2008) found that natural rate hypothesis does hold for the three Massachusetts regions over the years 1990-2006.…”

Section: A Brief Literature Reviewmentioning

confidence: 99%

Testing the hysteresis effect in the US state-level unemployment series

Omay

Özcan

Shahbaz

2020

Journal of Applied Economics

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“…The research performed by Mohan, Kemegue, and Sjuib (2008) shows that the majority of studies, which were using the conventional unit root tests, supports the hysteresis hypothesis in OECD countries, and rejects the same hypothesis when investigating the labour market in the United States. This research, using the ADF Fisher, IPS, LLC, and Breitung panel unit root tests for individual regions in the United States, rejected the hysteresis hypothesis in unemployment.…”

Section: Literature Reviewmentioning

confidence: 93%

Hysteresis and the NAIRU: The Case of Countries in Transition

Marjanović¹,

Maksimovic²,

Stanišić³

2015

Prague Economic Papers

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Abstract:The paper examines the hysteresis hypothesis in unemployment in the case of eight selected countries in transition, using the Kalman fi lter and testing whether the NAIRU time series are stationary. The empirical results show that the hysteresis eff ect is confi rmed for the majority of the countries. Testing the infl uence of the infl ation growth rate on the decline in the NAIRU and vice versa, performed using the panel regression with fi xed eff ect, confi rmed that the increase in infl ation leads to decline in the NAIRU. The conclusion also suggests the existence of the impact of actual unemployment rate on the NAIRU, which may be aff ected by the change in aggregate demand.

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“…Song and Wu (1997) demonstrate that unemployment rates in the United States are stationary by employing the Levin and Lin (1992)'s test. Their finding is confirmed by Leon-Ledesma's (2002) by using the Im, Pesaran and Shin (2003) test (Mohan, Kemegue, & Sjuib, 2007). Song and Wu (1998) state no evidence of hysteresis in unemployment over the period of 1972-1992 for 15 OECD countries by using Levin and Lin (1992) panel unit root test.…”

Section: Introductionmentioning

confidence: 81%

Is There Hysteresis in Unemployment in OECD Countries? Evidence From Panel Unit Root Test With Structural Breaks

2011

CBR

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This study tests the hysteresis hypothesis of unemployment in fifteen OECD countries by using panel unit root tests which allow for structural breaks. We apply annual unemployment rates covering 1985-2008 periods. We test whether unemployment rates are stationary by using second generation tests which allow cross section dependency among series and panel unit root test based on structural break advanced by Carrion-i-Silvestre, Barrio-Castro and Lopez-Bazo (2005). We find series as a stationary process with structural breaks according to Carrion-i Silvestre et al. (2005) test, while we find series as unit root process with second generation panel unit root test. According to the Carrion-i Silvestre et al. (2005) test, we find the evidence of absence of hysteresis in analyzed countries. As a result, temporary shocks have temporary effects on unemployment instead of permanent effect. Structural factors can affect the natural rate of unemployment and, therefore, unemployment would be stationary around a process that is subject to structural breaks. So, there still exists a unique natural rate of unemployment to which the economy eventually will converge.

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Hysteresis In Unemployment: Panel Unit Roots Tests Using State Level Data

Cited by 5 publications

References 19 publications

Testing the hysteresis effect in the US state-level unemployment series

Testing the hysteresis effect in the US state-level unemployment series

Hysteresis and the NAIRU: The Case of Countries in Transition

Is There Hysteresis in Unemployment in OECD Countries? Evidence From Panel Unit Root Test With Structural Breaks

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