Non-Linearity in the Canadian and US Labour Markets: Univariate and Multivariate Evidence from A Battery of Tests

Theodore Panagiotidis and Gianluigi Pelloni

Working Papers from Dipartimento Scienze Economiche, Universita' di Bologna

Abstract: The assumption of linearity is tested using five statistical tests for the US and the Canadian unemployment rates and the employment sectoral shares growth rates; construction, finance, manufacturing and trade. An AR(p) model was used to remove any linear structure from the series. Evidence of non-linearity is found for the sectoral shares with all five statistical tests in the US case but not in the aggregate level. The results for Canada are not so clear-cut. Evidence of unspecified non-linearity is found in the unemployment rate and in the sectoral shares. Overall important asymmetries are found in disaggregated labour market variables in the univariate setting. The linearity hypothesis was also examined in a multivariate framework. Evidence is provided that important asymmetries exist and a linear VAR cannot capture the dynamics of employment reallocation.

Date: 2004
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Related works:
Journal Article: NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS (2007)
Working Paper: NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS (2007)
Working Paper: Non-Linearity in the Canadian and US Labour Market: Univariate and Multivariate Evidence from a battery of tests (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bol:bodewp:506

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