An Empirical Testing Hysteresis in Unemployment for Eight Eastern Europe Countries: A Panel SURADF Approach

檢定東歐八國失業率是否存在磁滯現象－以Panel SURADF檢定法

曾漢文(Han-Wen Tzeng) ； 陳聰賢(Tsung-Hsien Chen)

《育達科大學報》 40期 (2015/04) Pp. 87-102

摘要

本研究採用Breuer et al.（2001），所提出的Panel似無相關回歸（SURADF）檢定法，檢定8個東歐國家在2002至2014年間的失業率是否存在有磁滯現象，一般的panel-based的單根檢定，是對於所有的panel成員做單根的聯合檢定，無法對於那些混合I（0）與I（1）的panel序列加以判別，而Panel SURADF檢定，對於每一個個別的panel成員，檢定個別的單根虛無假設，如此作法，他們可以清楚的辨認，哪些序列的panel是恆定的過程。運用Breuer et al.'s Panel SURADF檢定法的實證結果顯示，在東歐八國之中除了立陶宛以外，都不存在有失業率的磁滯現象。

關鍵字

Panel SURADF檢定法 ； 東歐八國 ； 失業率 ； 磁滯現象

並列摘要

The hysteresis hypothesis in unemployment for the eight Eastern Europe countries is tested using the newly developed Panel SURADF tests of Breuer et al. (2001) for the period 2002-2014. While the other Panel-based unit root tests are joint tests of a unit root for all members of the panel and are incapable of determining the mix of I(0) and I(1) series in the panel setting, the Panel SURADF tests a separate unit-root null hypothesis for each individual panel member; it therefore identifies how many and which series in the panel are stationary processes. The hysteresis hypothesis does not hold for all eight Eastern Europe countries except for Lithuania when Breuer et al.'s Panel SURADF tests are conducted.

並列關鍵字

hysteresis hypothesis ； panel data unit-root test ； Eastern Europe countries

參考文獻

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Breuer, J. B., McNown, R. and Wallace, M. S. (2001): “Misleading inferences from panel unit-root tests with an illustration from purchasing power parity”, Review of International Economics, 9(3), 482–93.

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