The paper is concerned with testing the unemployment rate of twenty two OEC
D countries for stationarity. A sequential testing procedure was applied wh
ere the break data is endogenized. Three different models were tested for u
nit roots. It was found that the 'crash' model, which allows for a shift in
the level of the unemployment rate, was most relevant. Furthermore, most b
reaks were associated with the first oil pl ice shock. Results suggest that
in nine countries the unit root can be rejected, in ten countries the null
hypothesis cannot be rejected and in three cases the results suggest possi
ble trend stationarity.