Exploring Okun's law asymmetry: An endogenous threshold logistic smooth transition regression approach*
用新方法检验奥肯定律是否存在阈值效应，发现美国近几十年来失业缺口与产出缺口的关系主要由结构性变量和政策变量组合驱动，且大部分变化发生在金融危机之前。
Abstract Using a novel methodology, we offer new evidence that a threshold relationship exists for Okun's law (the well‐known output–unemployment co‐movement). We use a logistic smooth transition regression (LSTR) model where threshold endogeneity is addressed using copula transformations of the threshold variable. We also suggest a test of the linearity hypothesis against the LSTR model. In line with Okun's insight (and that of the subsequent literature) that the trade‐off can be affected by different margins, we consider several potential threshold variables. We find mainly a combination of structural and policy‐related variables accounts for changes in the Okun's law trade‐off for the United States in recent decades. This conclusion is bolstered by combing these threshold candidates into a single factor. Accordingly, we find that the unemployment gap is increasingly associated with a smaller output gap. Notably, while the Great Recession accelerated that rise, the bulk of the change occurred beforehand.