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Cointegration and Structural Breaks in German Employment – An Error-Correction Interpretation / Kointegration und Strukturbrüche in der deutschen Beschäftigung – Eine Fehlerkorrektur-Auslegung

Author

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  • Belke Ansgar

    (Lehrstuhl für theoretische VWL I, Ruhruniversität, D-44780 Bochum)

  • Göcke Matthias

    (Institut für industriewirtschaftliche Forschung, Universitätsstr. 14—16, D-48143 Münster)

Abstract

In order to differentiate between unit root-persistence and structural break-hysteresis we estimate two types of cointegration models for West German employment. The standard model is compared with a model including structural breaks in the long-run relation between employment and its determinants. Our estimation shows that persistence is probably attributed to structural breaks in the long-run relation and not to a degenerating adjustment process. Thus, a unit root in the standard model possibly reveals a misspecification in the form of an ex-ante exclusion of the possibility of structural breaks in the equilibrium relation due to serious economic shocks.

Suggested Citation

  • Belke Ansgar & Göcke Matthias, 1997. "Cointegration and Structural Breaks in German Employment – An Error-Correction Interpretation / Kointegration und Strukturbrüche in der deutschen Beschäftigung – Eine Fehlerkorrektur-Auslegung," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 216(2), pages 129-152, April.
    • Handle: RePEc:jns:jbstat:v:216:y:1997:i:2:p:129-152
    DOI: 10.1515/jbnst-1997-0202
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