Ozdemir, Zeynel / A. and Balcilar, Mehmet and Tansel, Aysit (2012): Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries.
Download (188kB) | Preview
This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally integrated ARMA model. The findings indicate that contrary to the previous research the LFPRs of Australia, Canada and the USA are stationary implying that the informational value of the unemployment rates about the behavior of labor markets and the causes of joblessness are useful.
|Item Type:||MPRA Paper|
|Original Title:||Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries|
|English Title:||Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries|
|Keywords:||Labor Force Participation Rates; Structural Change; Stationarity|
|Subjects:||E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E24 - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital
J - Labor and Demographic Economics > J2 - Demand and Supply of Labor > J21 - Labor Force and Employment, Size, and Structure
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Aysit Tansel|
|Date Deposited:||08. Aug 2012 11:51|
|Last Modified:||16. Feb 2013 02:09|
Anderson P.,Gustman, A.and Steinmeier, T. 1999. Trends in male labour force participation and retirement: some evidence on the role of pensions and social security in the 1970s and 1980s. Journal of Labor Economics, 17, 757-783.
Australian Bureau of Statistics 2004. Unemployment and participation rates in Australia: a cohort analysis. Australian Economic Indicators, July 2004.
Australian Bureau of Statistics 2008. Explanatory Notes. Labour Force, Australia, July 2008.
Balcilar, M. 1996. Efficient and Near Efficient Unit Root Tests in Models with Structural Change. Ph.D. Dissertation, Wayne State University.
Banerjee, A., Lumsdaine, R.L. and Stock, J.H. 1992. Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence. Journal of Business and Economic Statistics, 10, 271-287.
Bos, C.; P.H. Franses; and M. Ooms. 1999. Long Memory and Level Shifts: Reanalyzing Inflation Rates. Empirical Economics 24, 427-449.
Clemente, J., Montanes, A. and Reyes, M. 1998. Testing for a unit root in variables with a double change in the mean. Economics Letters, 59, 175-182.
Christiano, L. 1992. Searching for a break in GNP. Journal of Business and Economic Statistics, 10, 237-250.
Dickey, D., and W.A. Fuller. 1979. Distributions of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association 74, 427-431.
Diebold, F.X., and A. Inoue. 2001. Long Memory and Regime Switching. Journal of Econometrics 105, 131-159.
Engle, R.F., and A.D. Smith. 1999. Stochastic Permanent Breaks. Review of Economics and Statistics 81, 553 574.
Gil-Alana, L.A. 1999. Testing of Fractional Integration with Monthly Data. Economic Modelling 16, 613 629.
______. 2001a. A Fractionally Integrated Model with a Mean Shift for the US and the UK Real Oil Prices. Economic Modelling 18, 643-658.
______. 2001b. Testing of Stochastic Cycles in Macroeconomic Time Series. Journal of Time Series Analysis 22, 411 430.
______. 2002. Structural Breaks and Fractional Integration in the US Output and Unemployment Rate. Economics Letters 77, 79 84.
Gil-Alana, L.A., and Robinson, P.M. 1997. Testing of Unit Roots and Other Nonstationary Hypotheses in Macroeconomic Time Series. Journal of Econometrics 80, 241-268.
______. 2001. Testing of Stochastic Cycles in Macroeconomic Time Series. Journal of Time Series Analysis 22, 411–430.
Gustavsson, M. and Österholm, P. 2006. The Informational Value of Unemployment Statistics: A Note on the Time Series Properties of Participation Rates. Economics Letters, 92, 428-433.
Granger, C.W.J., and Joyeux, R. 1980. An Introduction to Long Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis 1, 15 29.
Granger, C.W.J., and Hyung, N. 1999. Occasional Structural Breaks and Long Memory. Department of Economics Working Paper No. 99 4, University of California, San Diego, CA.
Hidalgo, J., and Robinson, P.M. 1996. Testing for Structural Change in Long Memory Environment. Journal of Econometrics 70, 159 174.
Hosking, J. 1981. Fractional Differencing. Biometrika 68, 165-176.
Ingles, D. 2000. Structural ageing, labour market adjustment and the tax/transfer system. Policy Research Paper NO. 5, 1-81, Department of Family and Community Services of Australia.
Kapetanios, G., Shin, Y. and Snell, A. 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112, 359–379.
Klemes, V. 1974. The Hurst Phenomenon. A Puzzle?. Water Resources Research 10, 675-688.
Künsch, H. 1986. Discrimination between Monotonic Trends and Long-Range Dependence. Journal of Applied Probability 23, 1025-1030.
Lobato, I.N., and Savin, N.E. 1998. Real and Spurious Long Memory Properties of Stock Market Data. Journal of Business and Economic Statistics 16, 261 268.
Lumsdaine, R.L. and Papell, D.H. 1997. Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79, 212-218.
Lyons, M. and Smith, M. 2008. Gender Pay Equity, Wage Fixation and Work Choices: Forward to the Past?. mimeo. University of Western Sydney.
Madsen J., Mishra V. and Smyth R. (2008) “Are Labour Force Participation Rates Non-Stationary? Evidence From 130 Years for G7 Countries”, Australian Economic Papers, 47, 166-189.
Mosisa, A. and Hipple, S. 2006. Trends in labor force participation in the United States. Monthly Labor Review, Vol.129, No:10, 35-57.
Murphy, K.M. and Topel, R. 1997. Unemployment and nonemployment. American Economic Review, 87, 295–300.
Ohara, H.I. 1999. A unit root test with multiple trend breaks: a theory with an application to US and Japanese macroeconomic time series. Japanese Economic Review, 50, 266-290.
Ozdemir, Z.A., Balcilar, M., and Tansel, A (2012) “International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks?”, Bulletin of Economic Research, 0307-3378, DOI: 10.1111/j.1467-8586.2011.00419.x.
Perron, P. 1989. The Great Crash, the Oil-Price Shock, and the Unit Root Hypothesis. Econometrica 57, 1361-1401.
Perron, P. and Vogelsang, T.J. 1992. Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics, 10, 301-320.
Phillips, P.C.B., and P. Perron. 1988. Testing for a Unit Root in a Time Series Regression. Biometrika 75, 335-346.
Robinson, P.M. 1994. Efficient Tests of Nonstationary Hypotheses. Journal of the American Statistical Association 89, 1420-1437.
Statistics Canada, 2006. The Canadian Labour Market at a Glance, Labour Statistics Division. Catalogue no. 71-222-XIE. Ottawa.
Teverovsky, V., and M.S. Taqqu. 1997. “Testing for Long Range Dependence in the Presence of Shifting Means or a Slowly Declining Trend, Using a Variance-Type Estimator.” Journal of Time Series Analysis 18, 279-304.
Toossi, M. 2002. “A century of change: the U.S. labor force, 1950–2050”, Monthly Labor Review, Vol.125, No:5, 15-28.
Zivot, E. and Andrews, D.W.K. 1992. Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Whittle, P. 1951. Hypothesis Testing in Time Series Analysis. Uppsala: Almqvist and Wiksells.