Testing hysteresis effect in U.S. state unemployment: new evidence using a nonlinear quantile unit root test

ABSTRACT

We revisit hysteresis effect in the unemployment rate of each of the 52 states of the United States using nonlinear quantile unit root test over the period 1976M1–2016M7. Our results indicate that unemployment rate of the U.S. economy as a whole displays hysteresis effect over recessionary periods. Nineteen out of 52 states display hysteresis behaviour over the period 1976–2016. For the remaining 33 states, we find four types of behaviours. Some states display stationarity behaviour almost in all quantiles. Some display hysteresis over recessionary periods and in contrast some display hysteresis over expansion period.

KEYWORDS:

• Nonlinear quantile unit root test
• hysteresis
• unemployment rate
• United States

JEL CLASSIFICATION:

• E01
• E23
• E32

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ To save the space, we did not report the tests results. They are provided upon request.

² These results are not reported but are available upon request from the authors.

³ We computed the p-values of for quantiles 0.1, 0.2, …, 0.9. to save the space, we did not report the tests results. They are prepared upon request.