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 framework, linear, quadratic and cubic components of are used to capture nonlinearity in given time series data. The theoretical properties developed, while size power examined Monte Carlo simulation study. Various empirical applications with inflation rates across number countries carried out at end article.