Panel Seasonal Unit Root Test With An Application for Unemployment Data

Arbeitspapier

In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IWH Discussion Papers ; No. 191/2004

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: Panel seasonal unit root test ; IPS-approach ; Unemployment data ; Unit Root Test ; Panel ; Schätzung ; Arbeitslosigkeit ; Insider-Outsider-Modell ; Theorie ; OECD-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Reimers, Hans-Eggert ; Dreger, Christian
• Event: Veröffentlichung
• (who): Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
• (where): Halle (Saale)
• (when): 2004

Further information

• Handle: http://hdl.handle.net/10419/23728
• URN: urn:nbn:de:gbv:3:2-482
• Last update: 10.03.2025, 11:44 AM CET