Arbeitspapier

Are Unemployment Rates in OECD Countries Stationary? Evidence from Univariate and Panel Unit Root Tests

This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980-2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business cycles or some idiosyncratic factors specific to labour market (Cancelo, 2007). Thus, as a testing strategy we first perform Harvey et al. (2008) linearity unit root test and then apply the newly ESTAR nonlinear unit root test suggested by Kruse (2011). This test has higher power than conventional unit root tests when time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with structural breaks. The results show that unemployment hysteresis hypothesis is strongly rejected when taking into account the cross-sectional and structural break assumptions. Thus, unemployment rates are expected to return back to their natural levels without executing any costly macroeconomic labour market policies by the OECD's governments.

Sprache
Englisch

Erschienen in
Series: IZA Discussion Papers ; No. 9571

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Particular Labor Markets: Public Policy
Unemployment: Models, Duration, Incidence, and Job Search
Economic History: Labor and Consumers, Demography, Education, Health, Welfare, Income, Wealth, Religion, and Philanthropy: General, International, or Comparative
Thema
unemployment
unit root
labour market policy
OECD

Ereignis
Geistige Schöpfung
(wer)
Khraief, Naceur
Shahbaz, Muhammad
Heshmati, Almas
Azam, Muhammad
Ereignis
Veröffentlichung
(wer)
Institute for the Study of Labor (IZA)
(wo)
Bonn
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Khraief, Naceur
  • Shahbaz, Muhammad
  • Heshmati, Almas
  • Azam, Muhammad
  • Institute for the Study of Labor (IZA)

Entstanden

  • 2015

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