Flexible Fourier unit root test of unemployment for PIIGS countries

被引：30

作者：

Cheng, Shu-Ching ^{[1
]}

Wu, Tsung-pao ^{[2
]}

Lee, Kuei-Chiu ^{[3
]}

Chang, Tsangyao ^{[2
]}

机构：

[1] Feng Chia Univ, Dept Econ, Taichung 40724, Taiwan

[2] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

[3] Feng Chia Univ, Dept Cooperat Econ, Taichung 40724, Taiwan

来源：

ECONOMIC MODELLING | 2014年 / 36卷

关键词：

Hysteresis in unemployment; PIIGS countries; Fourier unit root test; OIL-PRICE SHOCK; OECD COUNTRIES; SMOOTH BREAKS; TIME-SERIES; GREAT CRASH; GOOD SIZE; HYSTERESIS; STATIONARITY; HYPOTHESIS; RATES;

D O I：

10.1016/j.econmod.2013.09.021

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 PUGS (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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：142 / 148

页数：7

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