Testing the hysteresis effect in the US state-level unemployment series

Figures & data

Table 1. Summary of unit root analysis.

States	Lin	State dependent			S. break				Hybrid test
	ADF	EG	KSS	Sollis	LNV	EL	CEO	FFFFF	OY	OEHa	CL	OEHb
Alabama			+	+				+	+	+
Alaska	+		+	+	+	+		+	+	+	+	+
Arizona	+		+	+		+		+			+	+
Arkansas
California	+			+
Colorado	+		+	+				+
Connecticut	+
Delaware	+		+
Florida	+		+	+
Georgia	+			+
Hawaii				+		+					+	+
Idaho			+	+					+
Illinois	+		+	+				+		+	+
Indiana								+
Iowa
Kansas	+		+	+				+	+	+
Kentucky				+				+			+
Louisiana				+				+	+	+		+
Maine			+	+		+					+	+
Maryland	+		+	+
Massachusetts	+		+	+		+				+	+	+
Michigan			+	+				+	+	+
Minnesota	+		+						+	+
Mississippi								+
Missouri	+			+				+			+
Montana	+		+	+	+				+	+
Nebraska			+	+					+	+
Nevada	+			+				+
New Hampshire	+		+	+		+			+	+	+	+
New Jersey	+		+	+
New Mexico	+		+	+		+		+			+	+
New York	+		+	+		+					+	+
North Carolina
North Dakota			+	+				+	+	+
Ohio	+		+	+		+		+		+	+
Oklahoma	+		+	+		+		+	+	+	+	+
Oregon	+		+	+		+		+		+	+	+
Pennsylvania	+		+	+					+	+
RhodeIsland	+		+	+
South.Caroli	+		+	+		+		+			+	+
South Dakota	+		+	+						+
Tennessee			+	+		+		+		+	+	+
Texas	+		+	+					+	+	+
Utah	+		+	+	+					+
Vermont	+	+	+	+		+			+	+	+	+
Virginia	+		+
Washington	+		+							+
West Virginia			+	+		+		+	+	+	+	+
Wisconsin	+		+	+
Wyoming			+	+		+		+	+	+	+	+
Total =50	33	1	38	40	3	16	0	22	17	24	20	16
Group Total	33	45			30				33

Note 1: + Stands for stationarity at different significance levels.

Note 2: All the results obtained by using the %10 significance level by aggregating the intercept and intercept& trend cases.

Table 2. Nonlinear panel unit root analysis.

	Ucar and Omay (2009)		EO(2014)
	Intercept	Int and Tr	Intercept	Int and Tr
$U_{it}$	−2.887**	−3,234*	4.627*	5,412*

Note: *, ** and *** are representing the 1%, 5% and 10% significance level, respectively.

Table 3. Emirmahmutoglu And Omay (2014) unit root test with intercept and trend.

	Intercept and Trend
	Sollis (2009)	Emirmahmutoglu and Omay (2014)
Montana	8.912	5.412*
Idaho	8.907	5.341*
Texas	8.874	5.267*
Pennsylvania	8.819	5.190*
Vermont	8.723	5.111*
Alaska	7.663	5.031*
Kansas	7.632	4.971*
West Virginia	7.419	4.909*
Utah	7.315	4.850*
Michigan	7.219	4.789*
New Hampshire	7.137	4.729*
California	6.849	4.667*
Nebraska	6.592	4.609*
Rhode Island	6.545	4.556*
Oregon	6.307	4.501*
Alabama	6.323	4.449*
New York	6.141	4.394*
Maryland	6.129	4.341*
South Dakota	6.077	4.285*
Oklahoma	5.803	4.227*
Wisconsin	5.62	4.175*
Florida	5.592	4.125*
North Dakota	5.552	4.073*
New Jersey	5.465	4.018*
Massachusetts	5.355	3.962*
New Mexico	5.318	3.906*
Minnesota	5.144	3.848*
Tennessee	4.94	3.791*
Ohio	4.923	3.739*
Washington	4.921	3.683*
South Carolina	4.824	3.621*
Nevada	4.685	3.557*
Connecticut	4.331	3.495*
Wyoming	4.32	3.445**
Arkansas	4.162	3.391**
Iowa	4.137	3.339**
Illinois	4.089	3.282**
Virginia	3.997	3.220**
Missouri	3.99	3.156**
Louisiana	3.977	3.080**
Maine	3.852	2.990**
Indiana	3.839	2.894**
Colorado	3.795	2.776**
Arizona	3.681	2.631***
Kentucky	3.307	2.456
Mississippi	3.183	2.286
Delaware	2.588	2.061
Hawaii	2.285	1.886
North Carolina	2.199	1.686
Georgia	1.173

Note: *, **, and *** are representing the 1%, 5% and 10% significance levels, respectively.

Ucar, N., & Omay, T. (2009). Testing for unit root in nonlinear heterogeneous panels. Economics Letters, 104(1), 5–8.

 Web of Science ®Google Scholar

Omay., T., & Yildirim, D. (2014). Nonlinearity and smooth breaks in unit root testing. Econometrics Letters, 1(1), 2–9.

 Google Scholar

Emirmahmutoglu, F., & Omay, T. (2014). Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test. Economic Modelling, 40, 184–190.

 Web of Science ®Google Scholar

Sollis, R. (2009). A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling, 26, 118–125.

 Web of Science ®Google Scholar