Hysteresis versus Persistence in Unemployment: A Sceptical Note on Unit Root Tests

Autor: Derek Leslie, Alexander Wharton, Yonghao Pu
Rok vydání: 1995
Předmět:
Zdroj: Labour. 9:507-523
ISSN: 1467-9914
1121-7081
Popis: Previous studies of time-series data suggest that the rate of unemployment is best described as a driftless random walk. This is a far from trivial point because the policy implications of an alternative stationary series can be very different. On the basis of simulated data, this paper demonstrates how the rate of unemployment may appear to be difference stationary, yet is actually trend stationary, and that, contrary to conventional wisdom, the low power of the standard unit root test for stationarity is significant with regard to the conduct of policy. Thus, although the series under investigation may in fact offer little scope for successful policy intervention, the null hypothesis of a unit root may be accepted along with its attendant policy implications. Finally, an alternative test based on a null hypothesis of a stationary process is assessed.
Databáze: OpenAIRE
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