Tests the null hypothesis that a unit root is present in a time series sample.
Published in Chapter:
Testing the Unemployment Hysteresis for G-20 Countries
Copyright: © 2018
|Pages: 8
DOI: 10.4018/978-1-5225-5757-9.ch019
Abstract
In this chapter, the authors analyze the validity of unemployment hysteresis for G-20 countries, namely Australia, Brazil, Canada, France, Germany, Indonesia, Italy, Japan, Korea, Mexico, Russia, South Africa, Turkey, United Kingdom, and USA for the 1960–2014 period. For this purpose, they examine the stationarity of the unemployment rates by using ADF unit root test and Fourier ADF (FADF) unit root tests. FADF unit root test is a recently introduced test whose power is not affected by the number, location, and form of the breaks. The results of the tests show that the unemployment hysteresis is valid for some of the countries.