A regime-dependent specification of Okun's law is estimated for the Taiwan economy. Contrary to the dummy specification and treating the threshold value as a known value in Chiang (2006), we employ the Hansen (1996, 2000)methodology to test whether asymmetry in Okun's law exists. The empirical results indicate Okun's coefficient is asymmetric under different phases of business cycles. From the results of the difference model and gap model where the permanent component in output and unemployment is defined in terms of Beveridge and Nelson decomposition, Okun's coefficient during contraction is larger than the one during expansion.