This paper investigates the stochastic nature of the unemployment rate allowing for cross-section dependence from a panel of US state-level data. We employ the PANIC method to test the null of nonstationarity for the common and idiosyncratic components separately. We find significant evidence of...

We evaluate the usefulness of bias-correction methods for autoregressive (AR) models in terms of out-of-sample forecast accuracy, employing two popular methods proposed by Hansen (1999) and So and Shin (1999). Our Monte Carlo simulations show that these methods do not necessarily achieve better...