Flexible Fourier unit root test of unemployment for PIIGS countries

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• 作者：Shu-Ching Cheng ; Tsung-pao Wu ; Kuei-Chiu Lee ; Tsangyao Chang
• 关键词：Hysteresis in unemployment ; PIIGS countries ; Fourier unit root test
• 刊名：Economic Modelling
• 出版年：January, 2014
• 年：2014
• 卷：36
• 期：Complete
• 页码：142-148
• 全文大小：337 K

文摘

In this empirical study, we apply the flexible Fourier unit root test proposed by Enders and Lee (2012) to re-examine the hysteresis hypothesis of unemployment for PIIGS (Portugal, Ireland, Italy, Greece, and Spain) countries over the period from 1960 to 2011. We find that the Fourier unit root test has greater power than a linear method if the true data generating process of unemployment is a stationarity, non-linear process of an unknown form with structural change. The hysteresis in unemployment is confirmed for all PIIGS countries, with the exception of Portugal and Spain, when the Fourier unit root test is conducted.