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Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching
Klinger, Sabine; Weber, Enzo - 2015
Wir konstruieren ein neues Modell unbeobachteter Komponenten mit Markov-Switching zur Analyse von Hysterese … Konjunkturzyklus. Es zeigt sich, dass der jahrzehntelange Aufwärtstrend der Arbeitslosigkeit in Deutschland vollständig durch Hysterese … erklärt werden kann. Dagegen folgte die Arbeitslosigkeit in den USA keinem Hysterese-Muster, auch nicht während der großen …
Persistent link: https://www.econbiz.de/10011372431
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Unemployment and Hysteresis : A Nonlinear Unobserved Components Approach
Di Sanzo, Silvestro; Perez-Alonso, Alicia - 2010
A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are … lagged cyclical shocks on the current natural component is the measure of hysteresis. To derive anappropriate p-value for a … test for hysteresis two alternative bootstrap algorithms are proposed: the first is valid under homoskedastic errors and …
Persistent link: https://www.econbiz.de/10014189791
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Long memory in Turkish unemployment rates
Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysıt - 2017
In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...
Persistent link: https://www.econbiz.de/10012119645
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Long memory in Turkish unemployment rates
Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysıt - 2017
In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...
Persistent link: https://www.econbiz.de/10011735904
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Long memory in Turkish unemployment rates
Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysıt - 2017
In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...
Persistent link: https://www.econbiz.de/10011737861
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Long memory in Turkish unemployment rates
Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysıt - 2017
In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders of integration equal to or higher than 1 in most...
Persistent link: https://www.econbiz.de/10011751544
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Recessions and instable estimates of potential output
Dovern, Jonas; Zuber, Christopher - 2017
existence of substantial hysteresis effects of demand shocks. …
Persistent link: https://www.econbiz.de/10011798221
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On GDP-employment decoupling in Germany
Klinger, Sabine; Weber, Enzo - 2014
This paper investigates the time-varying relationship between German output and employment growth, in particular their decoupling in recent years. We estimate a correlated unobserved components model that allows for both persistent and cyclical time variation in the employment impact of GDP as...
Persistent link: https://www.econbiz.de/10010401756
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Stylized Facts of Greek Business Cycles : New Evidence from Aggregate and Across Regimes Data
Apergis, Nicholas - 2007
This study addresses stylized facts of the Greek economy over the period 1960-2003. The findings conveyed the procyclicality of consumption, while it is smoother than income. Investment and government expenses are more volatile than income. Prices are countercyclical, lending support to real...
Persistent link: https://www.econbiz.de/10012729973
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RGAP: output gap estimation in R
Streicher, Sina - 2022
Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …
Persistent link: https://www.econbiz.de/10013256541