Cointegration and Structural Breaks in German Employment – An Error-Correction Interpretation / Kointegration und Strukturbrüche in der deutschen Beschäftigung – Eine Fehlerkorrektur-Auslegung

Ansgar Belke and Matthias Göcke ()

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1997, vol. 216, issue 2, 129-152

Abstract: In order to differentiate between unit root-persistence and structural break-hysteresis we estimate two types of cointegration models for West German employment. The standard model is compared with a model including structural breaks in the long-run relation between employment and its determinants. Our estimation shows that persistence is probably attributed to structural breaks in the long-run relation and not to a degenerating adjustment process. Thus, a unit root in the standard model possibly reveals a misspecification in the form of an ex-ante exclusion of the possibility of structural breaks in the equilibrium relation due to serious economic shocks.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:216:y:1997:i:2:p:129-152

DOI: 10.1515/jbnst-1997-0202

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