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A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network

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  • OlaOluwa S. Yaya
  • Ahamuefula E. Ogbonna
  • Fumitaka Furuoka
  • Luis A. Gil‐Alana

Abstract

This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root testing framework, the linear, quadratic and cubic components of the neural network process are used to capture the nonlinearity in a given time series data. The theoretical properties of the test are developed, while the size and the power properties are examined in a Monte Carlo simulation study. Various empirical applications with unemployment and inflation rates across a number of countries are carried out at the end of the article.

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  • OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Fumitaka Furuoka & Luis A. Gil‐Alana, 2021. "A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 960-981, August.
    • Handle: RePEc:bla:obuest:v:83:y:2021:i:4:p:960-981
    DOI: 10.1111/obes.12422
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    6. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    7. Cuestas Juan Carlos & Gil-Alana Luis Alberiko, 2016. "Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 57-74, February.
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    11. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida, 2019. "Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 2781-2795, November.
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    14. Fumitaka Furuoka, 2017. "A new approach to testing unemployment hysteresis," Empirical Economics, Springer, vol. 53(3), pages 1253-1280, November.
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    Cited by:

    1. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
    2. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
    3. Gil-Alana, Luis Alberiko & Poza, Carlos, 2024. "Volatility persistence in metal prices," Resources Policy, Elsevier, vol. 88(C).
    4. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Puertolas, Francisco, 2024. "Modelling profitability of private equity: A fractional integration approach," Research in International Business and Finance, Elsevier, vol. 67(PA).
    5. Juan Carlos Cuestas & Luis Gil-Alana, 2024. "Unemployment Hysteresis by Sex and Education Attainment in the EU," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(1), pages 801-827, March.
    6. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2023. "Nominal and real wages in the UK, 1750–2015: mean reversion, persistence and structural breaks," SN Business & Economics, Springer, vol. 3(8), pages 1-10, August.
    8. Sakiru Adebola Solarin & Gema Lopez & Luis A. Gil‐Alana, 2022. "Persistence analysis of research intensity in OECD countries since 1870," Australian Economic Papers, Wiley Blackwell, vol. 61(4), pages 738-750, December.
    9. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Sakiru A. Solarin & OlaOluwa S. Yaya, 2024. "Testing for Persistence in German Green and Brown Stock Market Indices," CESifo Working Paper Series 11207, CESifo.
    10. Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2024. "Long-Run Linkages Between us Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3543-3553, December.
    11. Aysegul Corakci & Tolga Omay & Mübariz Hasanov, 2022. "Hysteresis and stochastic convergence in Eurozone unemployment rates: evidence from panel unit roots with smooth breaks and asymmetric dynamics," Oeconomia Copernicana, Institute of Economic Research, vol. 13(1), pages 11-55, March.
    12. Fumitaka Furuoka, 2021. "Testing hysteresis in unemployment using artificial network (ANN) unit root test," Economics Bulletin, AccessEcon, vol. 41(3), pages 1947-1958.
    13. Martin-Valmayor, Miguel A. & Gil-Alana, Luis A. & Infante, Juan, 2023. "Energy prices in Europe. Evidence of persistence across markets," Resources Policy, Elsevier, vol. 82(C).
    14. Martin-Valmayor, Miguel A. & Gil-Alana, Luis A. & Martín, Asís Pardo, 2023. "US biofuel market persistence and mean reversion properties," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 648-660.
    15. Alaba, Oluwayemisi O. & Ojo, Oluwadare O. & Yaya, OlaOluwa S & Abu, Nurudeen & Ajobo, Saheed A., 2021. "Comparative Analysis of Market Efficiency and Volatility of Energy Prices Before and During COVID-19 Pandemic Periods," MPRA Paper 109825, University Library of Munich, Germany.
    16. Sakiru, Solarin Adebola & Gil-Alana, Luis A. & Gonzalez-Blanch, Maria Jesus, 2022. "Persistence of economic complexity in OECD countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    17. Raquel Ayestarán & Juan Infante & Juan José Tenorio & Luis Alberiko Gil-Alana, 2023. "Evidence of Inflation Using Harmonized Consumer Price Indices in Some Euro Countries: France, Germany, Italy, and Spain, along with the Euro Zone," Mathematics, MDPI, vol. 11(10), pages 1-12, May.
    18. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2023. "Long-Run Trends and Cycles in US House Prices," CESifo Working Paper Series 10751, CESifo.
    19. Caglar, Abdullah Emre & Daştan, Muhammet & Avci, Salih Bortecine, 2024. "Persistence of disaggregate energy RD&D expenditures in top-five economies: Evidence from artificial neural network approach," Applied Energy, Elsevier, vol. 365(C).
    20. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
    21. Luis Alberiko Gil-Alana & Francisco Puertolas-Montanes, 2023. "Profitability of private equity: mean reversion and transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 458-471, June.
    22. Dettoni, Robinson & Gil-Alana, Luis Alberiko, 2023. "Testing the hypothesis of duration dependence in the U.S. housing market," Finance Research Letters, Elsevier, vol. 58(PD).
    23. Maha Mohamed Alsebai Mohamed & Pingfeng Liu & Guihua Nie, 2022. "Causality between Technological Innovation and Economic Growth: Evidence from the Economies of Developing Countries," Sustainability, MDPI, vol. 14(6), pages 1-39, March.

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