Dynamic Asymmetries in U.S. Unemployment

Gary Koop and Simon Potter

Journal of Business & Economic Statistics, 1999, vol. 17, issue 3, 298-312

Abstract: The authors examine dynamic asymmetries in U.S. unemployment using nonlinear time series models and Bayesian methods. They find strong statistical evidence in favor of a two-regime threshold autoregressive model. Empirical results indicate that, once parameter and model uncertainty are both taken into account, there are economically interesting asymmetries in the unemployment rate. One finding of particular interest is that shocks that lower the unemployment rate tend to have a smaller effect than shocks that raise the unemployment rate. This finding is consistent with unemployment rises being sudden and falls gradual.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (107)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Dynamic asymmetries in US unemployment (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:17:y:1999:i:3:p:298-312

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().