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We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment
rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis
of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of
the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the
common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments
can account for a great deal of secular changes in the unemployment rates, particularly the abrupt increase in the 1970s and
1980s and the subsequent decrease in the last 18 years.
First Version Received: December 2000/Final Version Received: June 2001 相似文献
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