A New unit root test for unemployment hysteresis based on the autoregressive neural network*

A New unit root test for unemployment hysteresis based on the autoregressive neural network*

This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root testing framework, the linear, quadratic and cubic components of the neural network process are used to capture the nonlinearity in a given tim...

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Main Authors: Yaya, OlaOluwa S., Ogbonna, Ahamuefula E., Furuoka, Fumitaka, Gil-Alana, Luis A.
Format: Article
Published: Wiley 2021
Subjects:
QA Mathematics
TK Electrical engineering. Electronics Nuclear engineering
Online Access:http://eprints.um.edu.my/26780/
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Institution: Universiti Malaya
id my.um.eprints.26780
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spelling my.um.eprints.267802022-04-15T02:42:35Z http://eprints.um.edu.my/26780/ A New unit root test for unemployment hysteresis based on the autoregressive neural network* Yaya, OlaOluwa S. Ogbonna, Ahamuefula E. Furuoka, Fumitaka Gil-Alana, Luis A. QA Mathematics TK Electrical engineering. Electronics Nuclear engineering This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root testing framework, the linear, quadratic and cubic components of the neural network process are used to capture the nonlinearity in a given time series data. The theoretical properties of the test are developed, while the size and the power properties are examined in a Monte Carlo simulation study. Various empirical applications with unemployment and inflation rates across a number of countries are carried out at the end of the article. Wiley 2021-08 Article PeerReviewed Yaya, OlaOluwa S. and Ogbonna, Ahamuefula E. and Furuoka, Fumitaka and Gil-Alana, Luis A. (2021) A New unit root test for unemployment hysteresis based on the autoregressive neural network*. Oxford Bulletin of Economics and Statistics, 83 (4). pp. 960-981. ISSN 0305-9049, DOI https://doi.org/10.1111/obes.12422 <https://doi.org/10.1111/obes.12422>. 10.1111/obes.12422
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
TK Electrical engineering. Electronics Nuclear engineering
spellingShingle QA Mathematics
TK Electrical engineering. Electronics Nuclear engineering
Yaya, OlaOluwa S.
Ogbonna, Ahamuefula E.
Furuoka, Fumitaka
Gil-Alana, Luis A.
A New unit root test for unemployment hysteresis based on the autoregressive neural network*
description This paper proposes a nonlinear unit root test based on the autoregressive neural network process for testing unemployment hysteresis. In this new unit root testing framework, the linear, quadratic and cubic components of the neural network process are used to capture the nonlinearity in a given time series data. The theoretical properties of the test are developed, while the size and the power properties are examined in a Monte Carlo simulation study. Various empirical applications with unemployment and inflation rates across a number of countries are carried out at the end of the article.
format Article
author Yaya, OlaOluwa S.
Ogbonna, Ahamuefula E.
Furuoka, Fumitaka
Gil-Alana, Luis A.
author_facet Yaya, OlaOluwa S.
Ogbonna, Ahamuefula E.
Furuoka, Fumitaka
Gil-Alana, Luis A.
author_sort Yaya, OlaOluwa S.
title A New unit root test for unemployment hysteresis based on the autoregressive neural network*
title_short A New unit root test for unemployment hysteresis based on the autoregressive neural network*
title_full A New unit root test for unemployment hysteresis based on the autoregressive neural network*
title_fullStr A New unit root test for unemployment hysteresis based on the autoregressive neural network*
title_full_unstemmed A New unit root test for unemployment hysteresis based on the autoregressive neural network*
title_sort new unit root test for unemployment hysteresis based on the autoregressive neural network*
publisher Wiley
publishDate 2021
url http://eprints.um.edu.my/26780/
_version_ 1735409457243881472

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