Unit root in unemployment – new evidence from nonparametric tests

Abstract

We apply Range Unit Root (RUR) tests to Organization for Economic Co-operation and Development (OECD) unemployment rates and compare the results to conventional tests. By simulations, we find that unemployment is represented adequately by a new nonlinear transformation of a serially correlated I(1) process.

Notes

¹ This corresponds to the situations where either one rate is equal to 1 and the other rates are equal to 0 or one rate is equal to 0 and the other rates are equal to 1, respectively.