The Cointegration between Moonlighting and Unemployment in Estonia

The relationship between moonlighting and unemployment is based on the logic that downward pressure in wage rate due to massive unemployment either may discourage moonlighting through income effect or may induce moonlighting through substitution effect. This study disapproves any such relationship between moonlighting and unemployment in Estonia. Application of Engle Granger cointegration test to a quarterly time series data of Estonia from 2000:Q1 to 2021:Q4 confirms that there exists no such long run relationship between moonlighting and unemployment