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An Endogenous Threshold LSTR Approach
出版European Central Bank, 2019
ISBN92899397619789289939768
URLhttp://books.google.com.hk/books?id=paS2zQEACAAJ&hl=&source=gbs_api
註釋Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun’s law. We use a logistic smoothed transition regression (LSTR) model where possible threshold endogeneity is addressed based on copula theory. We also suggest a new test of the linearity hypothesis against the LSTR model. A combination of structural and policy-related variables accounts for changes (rises) in the Okun’s parameter in the US in recent decades. Accordingly, the unemployment gap is increasingly associated with a smaller output gap. Whilst the Great Recession accelerated that rise, the bulk of the change occurred beforehand.