Abstract
This article applies the method of Gonzalo and Pitarakis (2006) to investigate the relationship of unemployment and labour force participation in the United States. Empirical analysis indicates the long-run relationships between these two variables are regime dependent.
Notes
1 Cointegrating regressions remain linear in variables in the presence of threshold effects, but become nonlinear in parameters when threshold effects occur in the cointegrating relation.
2 We set the delay parameter d=3 by reference to the maximum supLM statistic.