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Panel Seasonal Unit Root Test With An Application for Unemployment Data

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  • Reimers, Hans-Eggert
  • Dreger, Christian

Abstract

In this paper the seasonal unit root test of Hylleberg et al. (1990) is generalized to cover a heterogenous panel. The procedure follows the work of Im, Pesaran and Shin (2002). Test statistics are proposed and critical values are obtained by simulations. Moreover, the properties of the tests are analyzed for different deterministic and dynamic specications. Evidence is presented that for a small time dimension the power is slow even for increasing cross section dimension. Therefore, it seems necessary to have a higher time dimension than cross section dimension. The new test is applied for unemployment behaviour in industrialized countries. In some cases seasonal unit roots are detected. However, the null hypotheses of panel seasonal unit roots are rejected. The null hypothesis of a unit root at the zero frequency is not rejected, thereby supporting the presence of hysteresis effects.

Suggested Citation

  • Reimers, Hans-Eggert & Dreger, Christian, 2004. "Panel Seasonal Unit Root Test With An Application for Unemployment Data," IWH Discussion Papers 191/2004, Halle Institute for Economic Research (IWH).
    • Handle: RePEc:zbw:iwhdps:iwh-191
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    References listed on IDEAS

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    1. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90, National Bureau of Economic Research, Inc.
    2. Peter C. B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
    3. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    5. Olivier Jean Blanchard & Stanley Fischer (ed.), 1991. "NBER Macroeconomics Annual 1991," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262521652, December.
    6. Miguel A. León-Ledesma, 2000. "Unemployment Hysteresis in the US and the EU: a Panel Data Approach," Studies in Economics 0006, School of Economics, University of Kent.
    7. Olivier Jean Blanchard & Stanley Fischer (ed.), 1990. "NBER Macroeconomics Annual 1990," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262521555, December.
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    Cited by:

    1. Robert M. Kunst & Philip Hans Franses, 2011. "Testing for Seasonal Unit Roots in Monthly Panels of Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, August.

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    More about this item

    Keywords

    Panel seasonal unit root test; IPS-approach; Unemployment data;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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