Modelling asymmetries and moving equilibria in unemployment rates

Joakim Skalin and Timo Teräsvirta

No 262, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: The paper discusses a simple univariate nonlinear parametric time-series model for unemployment rates, focusing on the asymmetry observed in many OECD unemployment rate series. The model is based on a standard logistic smooth transition autoregressive (LSTAR) model for the first difference of unemployment, but it also includes a lagged level term. This model allows for asymmetric behaviour by permitting 'local' nonstationarity in a globally stable model. Linearity tests are performed for a number of quarterly, seasonally unadjusted, unemployment series from OECD countries, and linearity is rejected for a number of them. For a number of series, nonlinearity found by testing can be modelled satisfactorily by use of our smooth transition autoregressive model. The properties of the estimated models, including persistence of the shocks according to them, are illustrated in various ways and discussed. Possible existence of moving equilibria in series not showing asymmetry is investigated and modelled with another STAR model.

Keywords: Persistence; nonlinearity; smooth transition regression; time series model; linearity test (search for similar items in EconPapers)
JEL-codes: C22 E24 E32 (search for similar items in EconPapers)
Pages: 55 pages
Date: 1998-09-28, Revised 1999-07-08
New Economics Papers: this item is included in nep-ecm and nep-ltv
References: Add references at CitEc
Citations: View citations in EconPapers (32)

Published in Macroeconomic Dynamics, 2002, pages 202-241.

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

Related works:
Journal Article: MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES (2002)
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:hhs:hastef:0262

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().