Do Structural Breaks exist in Okun’s Law? Evidence from the Lost Decade in Japan

Hirokuni Iiboshi and Shigeru Wakita

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents an analysis as to whether or not there has been a structural break of Okun’s Law, and if so, how many, when and what kind of break, using Bayesian methods via MCMC (Markov Chain Monte Carlo) simulation for the Japanese data from 1961Q1 to 2001Q1. In addition, it identifies structural breaks both in trends (normal level) and cyclical components (normal level), which are ecomposed from output and unemployment rate by new proposed methods as well as widespread methods: H-P filter and Band Pass filter, in contrast to the previous studies of several countries.

Keywords: Structural Change Test with Unknown Timing; MCMC; Kalman Filter; Hodrick-Prescott Filter; Band Pass Filter; Bayesian inference (search for similar items in EconPapers)
JEL-codes: C32 E24 E32 (search for similar items in EconPapers)
Date: 2004-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:87392

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