We investigate the hysteresis hypothesis by proposing a heterogeneous panel unit root test that allows for gradually changing trends and cross-sectional dependence (CSD) among panel members using a flexible Fourier form. Inconclusive results from previous studies are potentially due to using very restrictive specifications with homogenous break structures and/or exogenously determined abrupt breaks. We seek to address these limitations by employing general specifications that are more capable of characterising the true data generation process of unemployment and by allowing for spill-over effects using a bootstrapping procedure to accommodate CSD that must be considered in a globalized world. Extensive simulations suggest that the failure to take structural breaks and CSD into account can lead to misleading conclusions about whether the unemployment rate is stationarity. We apply our test procedure to unemployment data for 23 OECD countries and find conclusive evidence against the hysteresis hypothesis for all these countries.

我们通过提出异质面板单位根检验来研究滞后假设，该检验允许使用灵活的傅立叶形式逐渐改变面板成员之间的趋势和横截面依赖性 (CSD)。先前研究的不确定结果可能是由于使用了非常严格的规范，具有同质断裂结构和/或外源确定的突然断裂。我们试图通过采用更能够表征失业的真实数据生成过程的通用规范来解决这些限制，并通过使用引导程序允许溢出效应来适应全球化世界中必须考虑的 CSD。广泛的模拟表明，如果未能将结构性断裂和 CSD 考虑在内，可能会导致关于失业率是否平稳的误导性结论。我们将我们的测试程序应用于 23 个经合组织国家的失业数据，并找到了反对所有这些国家滞后假设的确凿证据。