Abstract
Nickell et al. (Econ J 115(500):1–27, 2005) argue that unemployment rates cointegrate with labour market institutions in a panel of OECD countries. This paper replicates their Maddala–Wu panel cointegration test and shows that this test is only valid when (i) the number of countries tends to infinity and (ii) the underlying country-specific cointegration tests are independent. Their finding of cointegration does not survive when small sample properties and heterogeneous cross-sectional dependencies are taken into account.
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We acknowledge financial support from the Interuniversity Attraction Poles Program, Belgian Science Policy, contract no. P5/21. The usual disclaimer applies.
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Berger, T., Everaert, G. A replication note on unemployment in the OECD since the 1960s: what do we know?. Empir Econ 36, 479–485 (2009). https://doi.org/10.1007/s00181-008-0207-0
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DOI: https://doi.org/10.1007/s00181-008-0207-0