| Titre | Les tests de racine unitaire et les modèles Arch : application au taux de chômage | |
|---|---|---|
| Auteur | Jamel Trabelsi | |
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Revue | Economie et prévision |
| Numéro | no 131, 1997/5 | |
| Rubrique / Thématique | Méthodes |
|
| Page | 177-190 | |
| Résumé anglais |
Unit Root Tests and ARCH Models: Unemployment Rate Applications
by Jamel Trabelsi
We propose to test for the effects of hysteresis, or the persistence of the unemployment rate in the leading industrialised countries. We use a procedure based on Phillips curves that incorporates imperfections in labour market information to justify the possible emergence of such phenomena. We have developed an econometric approach based on Dickey and Fuller Tests with GARCH disturbances on the basis of the conclusions put forward by Kim and Schmidt, which state that the null hypothesis for the unit root is rejected when there are ARCH effects under certain conditions, such as an integrated and degenerated process. We show that the unemployment rate is persistent in the leading European countries. This effect may be explained by the persistence of volatility shocks. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1997_num_131_5_5893 |
