Munich Personal RePEc Archive

Do Structural Breaks exist in Okun’s Law? Evidence from the Lost Decade in Japan

Iiboshi, Hirokuni and Wakita, Shigeru (2004): Do Structural Breaks exist in Okun’s Law? Evidence from the Lost Decade in Japan.

[img]
Preview
PDF
MPRA_paper_87392.pdf

Download (416kB) | Preview

Abstract

This paper presents an analysis as to whether or not there has been a structural break of Okun’s Law, and if so, how many, when and what kind of break, using Bayesian methods via MCMC (Markov Chain Monte Carlo) simulation for the Japanese data from 1961Q1 to 2001Q1. In addition, it identifies structural breaks both in trends (normal level) and cyclical components (normal level), which are ecomposed from output and unemployment rate by new proposed methods as well as widespread methods: H-P filter and Band Pass filter, in contrast to the previous studies of several countries.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.