Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined

The steps of unit root testing and model building are illustrated in more detail for U.S. unemployment rates. The unit root hypothesis is rejected for this series, and successive specification tests and estimation results yield evidence in favor of a stable TV-MSTAR model with more momentum in unemployments increases than in unemployment decreases.