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Persistence in U.S. State Unemployment Rates
Author(s) -
Sephton Peter S.
Publication year - 2009
Publication title -
southern economic journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.762
H-Index - 58
eISSN - 2325-8012
pISSN - 0038-4038
DOI - 10.4284/sej.2009.76.2.458
Subject(s) - odds , economics , allowance (engineering) , hysteresis , unemployment , unit root , persistence (discontinuity) , econometrics , multivariate statistics , statistics , mathematics , macroeconomics , operations management , physics , engineering , logistic regression , geotechnical engineering , quantum mechanics
Romero‐Ávila and Usabiaga (2007) find that many U.S. state unemployment rates are stationary, a result at odds with the traditional view that unemployment rates are path‐dependent and subject to shocks that have permanent effects. They base their results on multivariate unit root tests that provide for two breaks in mean. This note extends the analysis to directly examine whether the series were fractionally integrated. When no allowance is made for breaking means, the results suggest evidence in favor of hysteresis, an outcome that generally applies when one break in mean is considered. Allowing for two breaks demonstrates that the evidence in favor of the natural rate and the hysteresis hypotheses is temporally sensitive.