Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test

Japan and the World Economy - Tập 28 - Trang 72-84 - 2013
Cheng-Feng Lee1, Te-Chung Hu2, Ping-Cheng Li3, Ching-Chuan Tsong4
1Department of Business Administration, National Kaohsiung University of Applied Sciences, No. 415, Jiangong Road, Sanmin District, Kaohsiung City 80778, Taiwan
2Department of Finance and Institute of Finance and Information, National Kaohsiung University of Applied Sciences, No. 415, Jiangong Road, Sanmin District, Kaohsiung City 80778, Taiwan
3Department of Political Economics, National Sun Yat-sen University, Kaohsiung 80424, Taiwan
4Department of Economics, National Chi Nan University, Nantou 545, Taiwan

Tài liệu tham khảo

Alogoskoufis, 1988, On the persistence of unemployment, Economic Policy, 7, 428

Amara, 2006, Testing for purchasing power parity using stationary covariates, Applied Financial Economics, 16, 29, 10.1080/09603100500389374

Andrews, 1991, Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817, 10.2307/2938229

Blanchard, 1986, Hysteresis and the European unemployment problem

Boldin, 1999, Should policy makers worry about asymmetries in the business cycle?, Studies in Nonlinear Dynamics and Econometrics, 3, 203

Brock, 1988, Is the business cycle characterized by deterministic chaos, Journal of Monetary Economics, 22, 71, 10.1016/0304-3932(88)90170-5

Brunello, 1990, Hysteresis and the Japanese unemployment problem: a preliminary investigation, Oxford Economic Papers, 42, 483, 10.1093/oxfordjournals.oep.a041959

Cancelo, 2007, Cyclical asymmetries in unemployment rates: international evidence, International Advances in Economic Research, 13, 334, 10.1007/s11294-007-9094-y

Caner, 2001, Threshold autoregression with a unit root, Econometrica, 69, 1555, 10.1111/1468-0262.00257

Caporale, 2007, Nonlinearities and fractional integration in the US unemployment rate, Oxford Bulletin of Economics and Statistics, 69, 521, 10.1111/j.1468-0084.2007.00449.x

Chortareas, 2009, Getting PPP right: identifying mean-reverting real exchange rates in panels, Journal of Banking and Finance, 33, 390, 10.1016/j.jbankfin.2008.08.010

Dickey, 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427

Elliott, 2003, Testing for unit roots with stationary covariates, Journal of Econometrics, 115, 75, 10.1016/S0304-4076(03)00093-9

Elliott, 2006, Higher power tests for bilateral failures of PPP after 1973, Journal of Money, Credit and Banking, 38, 1405, 10.1353/mcb.2006.0080

Falk, 1986, Further evidence on the asymmetric behavior of economic time series over the business cycle, Journal of Political Economy, 94, 1096, 10.1086/261423

Galvao, 2009, Unit root quantile autoregression testing using covariates, Journal of Econometrics, 152, 165, 10.1016/j.jeconom.2009.01.007

Ghosh, 2008, Nonstationarity and nonlinearity in the US unemployment rate: a re-examination, Journal for Economic and Educators, 8, 43

Gray, 2004, Persistent regional unemployment differentials revisited, Regional Studies, 38, 167, 10.1080/0034340042000190145

Gustavsson, 2006, Hysteresis and non-linearities in unemployment rates, Applied Economics Letters, 13, 545, 10.1080/13504850500401437

Hansen, 1995, Rethinking the univariate approach to unit root testing: using covariates to increase power, Econometric Theory, 11, 1148, 10.1017/S0266466600009993

Jansson, 2004, Stationarity testing with covariates, Econometric Theory, 20, 56, 10.1017/S0266466604201037

Kapetanios, 2003, Testing for a unit root in the nonlinear STAR framework, Journal of Econometrics, 112, 359, 10.1016/S0304-4076(02)00202-6

Koenker, 2005

Koenker, 1978, Regression quantiles, Econometrica, 46, 33, 10.2307/1913643

Koenker, 2004, Unit root quantile autoregression inference, Journal of the American Statistical Association, 99, 775, 10.1198/016214504000001114

Koenker, 2006, Quantile autoregression, Journal of the American Statistical Association, 101, 980, 10.1198/016214506000000672

Kohns, 2001, Testing for asymmetry in British, German and U.S. unemployment data

Koop, 1999, Bayes factors and nonlinearity: evidence from economic time series, Journal of Econometrics, 88, 251, 10.1016/S0304-4076(98)00031-1

Lee, 2010, Testing for unemployment hysteresis in nonlinear heterogeneous panels: International evidence, Economic Modelling, 27, 1097, 10.1016/j.econmod.2010.03.010

Lee, 2011, Covariate selection for testing purchasing power parity, Applied Economics, 43, 1923, 10.1080/00036840902837100

Lima, 2008, Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach, Journal of Development Economics, 86, 313, 10.1016/j.jdeveco.2007.11.002

Mortensen, 1994, Job creation and job destruction in the theory of unemployment, Review of Economic Studies, 61, 397, 10.2307/2297896

Neftci, 1984, Are economic time series asymmetric over the business cycle?, Journal of Political Economy, 92, 307, 10.1086/261226

Nikolaou, 2008, The behaviour of the real exchange rate: evidence from regression quantiles, Journal of Banking & Finance, 32, 664, 10.1016/j.jbankfin.2007.05.002

Peel, 1998, The nonlinear time series properties of unemployment rates: some further evidence, Applied Economics, 30, 287, 10.1080/000368498326083

Peel, 2000, Threshold nonlinearities in unemployment rates: further evidence for the UK and G3 economies, Applied Economics, 32, 705, 10.1080/000368400322327

Phelps, 1967, Phillips curves, expectations of inflation and optimal unemployment over time, Economica, 34, 254, 10.2307/2552025

Phillips, 1988, Testing for a unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335

Røed, 2002, Unemployment hysteresis and the natural rate of vacancies, Empirical Economics, 27, 687, 10.1007/s001810100110

Rothman, 1991, Further evidence on the asymmetric behavior of unemployment rates over the business cycle, Journal of Macroeconomics, 13, 291, 10.1016/0164-0704(91)90057-2

Schwarz, 1978, Estimating the dimension of a model, Annals of Statistics, 6, 461, 10.1214/aos/1176344136

Sichel, 1993, Business cycle asymmetry: a deeper look, Economic Inquiry, 31, 224, 10.1111/j.1465-7295.1993.tb00879.x

Tsong, 2011, Asymmetric inflation dynamics: evidence from quantile regression analysis, Journal of Macroeconomics, 33, 668, 10.1016/j.jmacro.2011.08.003

Ucar, 2009, Testing for unit root in nonlinear heterogeneous panels, Economics Letters, 104, 5, 10.1016/j.econlet.2009.03.018

Yilanci, 2008, Are unemployment rates nonstationary or nonlinear? Evidence from 19 OECD countries, Economics Bulletin, 3, 1

Thông tin
Thông tin xuất bản

Japan and the World Economy

Tập 28

72-84

Thông tin tác giả