ABSTRACT

This paper re-examines the stochastic time series behaviour of the monthly unemployment rate in 50 states of the United States (US) for the period 1976–2017 using a number of state-of-the-art unit root tests. The new developments incorporate structural break, nonlinearity, asymmetry, and cross-sectional correlation within panel-data estimation including the use of a sequential panel selection method. While not previously considered, sequential panel selection enabled us to determine and separate the stationary and nonstationary series in the sample. The empirical findings are in support of the stationarity of unemployment rate in 47 states. The findings confirm a natural rate hypothesis for the labour markets in the most US states, indicating that labour market shocks have solely temporary effects on state-level unemployment. This empirical study provides significant state-specific policy implications.

摘要

本文使用许多最新的单位根检验，重新研究了美国50个州在1976-2017年期间的每月失业率的随机时间序列行为。新的发展将结构性断裂，非线性，不对称性和横截面相关性纳入了面板数据估计中，包括使用顺序面板选择方法。尽管以前没有考虑过，但连续的面板选择使我们能够确定和分离样品中的平稳序列和非平稳序列。实证结果支持了47个州失业率的平稳性。调查结果证实了美国大多数州劳动力市场的自然利率假说，表明劳动力市场冲击仅对州级失业产生暂时影响。