ABSTRACT

Unemployment hysteresis of Middle East and North African (MENA) countries is investigated under a battery of unit root testing frameworks in the extant literature, including a recently proposed Panel SUR Dickey-Fuller-like unit root test with Fourier and Exponential Smooth Transition Regression (ESTR) nonlinearities. The Fourier function allows for smooth nonlinear breaks, while the ESTR nonlinearity allows for instantaneous breaks. The two nonlinearity types make the recent approach quite appealing. It has, however, been scarcely applied to empirically test the unemployment hysteresis hypothesis. Although we find conflicting stances from ADF, FADF and ADF-SB testing frameworks, evidence of unemployment hysteresis effect in Lebanon is consistent across all three tests. The ADF and FADF tests confirmed the hysteresis hypothesis in Kuwait and Lebanon, while FADF-SB rejected the unemployment hysteresis hypothesis across all the 19 MENA countries. The results from the KSS and FKSS unit root testing frameworks consistently affirmed the hysteresis effect in Oman and Turkey, while there are mixed stances for Kuwait and Lebanon. The results from SURADF and SURKSS only supported the hysteresis hypothesis in Turkey, while the same was confirmed only for Bahrain under the SURFADF and SURFKSS testing frameworks. The unemployment hysteresis hypothesis is confirmed for 12 (about 63.15% of the total number considered) MENA economies.

摘要

在现有文献中的一系列单位根测试框架下对中东和北非 (MENA) 国家的失业滞后进行了调查，包括最近提出的 Panel SUR Dickey-Fuller-like 单位根测试，带有傅立叶和指数平滑过渡回归 (ESTR) ) 非线性。傅立叶函数允许平滑的非线性中断，而 ESTR 非线性允许瞬时中断。这两种非线性类型使最近的方法非常有吸引力。然而，它几乎没有应用于实证检验失业滞后假设。尽管我们发现 ADF、FADF 和 ADF-SB 测试框架的立场相互矛盾，但黎巴嫩失业滞后效应的证据在所有三个测试中都是一致的。ADF 和 FADF 测试证实了科威特和黎巴嫩的滞后假设，而 FADF-SB 拒绝了所有 19 个 MENA 国家的失业滞后假设。KSS 和 FKSS 单位根测试框架的结果一致肯定了阿曼和土耳其的滞后效应，而科威特和黎巴嫩则持不同意见。SURADF 和 SURKSS 的结果仅支持土耳其的滞后假设，而在 SURFADF 和 SURFKSS 测试框架下仅在巴林证实了这一假设。12 个（约占所考虑总数的 63.15%）中东和北非经济体的失业滞后假设得到证实。KSS 和 FKSS 单位根测试框架的结果一致肯定了阿曼和土耳其的滞后效应，而科威特和黎巴嫩则持不同意见。SURADF 和 SURKSS 的结果仅支持土耳其的滞后假设，而在 SURFADF 和 SURFKSS 测试框架下仅在巴林证实了这一假设。12 个（约占所考虑总数的 63.15%）中东和北非经济体的失业滞后假设得到证实。KSS 和 FKSS 单位根测试框架的结果一致肯定了阿曼和土耳其的滞后效应，而科威特和黎巴嫩则持不同意见。SURADF 和 SURKSS 的结果仅支持土耳其的滞后假设，而在 SURFADF 和 SURFKSS 测试框架下仅在巴林证实了这一假设。12 个（约占所考虑总数的 63.15%）中东和北非经济体的失业滞后假设得到证实。