Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055524 | Economic Modelling | 2012 | 7 Pages |
Abstract
⺠We study US state unemployment rates allowing for cross-section dependence. ⺠The PANIC method is used to separate the common and idiosyncratic components. ⺠We implement a more powerful RMA-based unit root test for these components. ⺠Including the data from recent recession yields a nonstationary common component. ⺠Even when stationarity is supported, the bias-corrected half-life appears very long.
Related Topics
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Economics and Econometrics
Authors
Ka Ming Cheng, Nazif Durmaz, Hyeongwoo Kim, Michael L. Stern,