NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
Theodore Panagiotidis () and
Gianluigi Pelloni ()
Working Paper series from Rimini Centre for Economic Analysis
The assumption of linearity is tested using five statistical tests for the US and Canadian unemployment rates, growth rates of the sectoral shares of construction, finance, manufacturing and trade sectors. 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.
Keywords: Non-linearity; Sectoral Shares (search for similar items in EconPapers)
JEL-codes: C22 C50 E24 (search for similar items in EconPapers)
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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 Market: Univariate and Multivariate Evidence from a battery of tests (2005)
Working Paper: Non-Linearity in the Canadian and US Labour Markets: Univariate and Multivariate Evidence from A Battery of Tests (2004)
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