UNEMPLOYMENT AND HYSTERESIS: A NONLINEAR UNOBSERVED COMPONENTS APPROACH

Alicia Pérez Alon () and Silvestro Di Sanzo
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Alicia Pérez Alon: Universidad de Alicante

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: The aim of this paper is to find a possible hysteresis effect on unemployment rate series from Italy, France and the United States. We propose a definition of hysteresis taken from Physics which allows for nonlinearities. To test for the presence of hysteresis we use a nonlinear unobserved components model for unemployment series. The estimation methodology used can be assimilated into a threshold autoregressive representation in the framework of a Kalman filter. To derive an appropriate p-value for a test for hysteresis we propose two alternative bootstrap procedures: the first is valid under homoskedastic errors and the second allows for general heteroskedasticity. We investigate the performance of both bootstrap procedures using Monte Carlo simulation.

Keywords: Hysteresis; Unobserved Components Model; Threshold Autoregressive Models; Nuisance parameters; Bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C13 C15 C32 E24 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2005-12
New Economics Papers: this item is included in nep-ecm and nep-mac
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Published by Ivie

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http://www.ivie.es/downloads/docs/wpasad/wpasad-2005-34.pdf Fisrt version / Primera version, 2005 (application/pdf)

Related works:
Journal Article: Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:2005-34

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