We examine hysteresis in EU and US unemployment by panel unit root tests. First generation tests indicate that unemployment is stationary. Second genera-tion tests show mixed results. Idiosyncratic components are stationary in the US. A unit root in the US common component depends on the starting point of the sample. While the common component is nonstationary over the whole period, it is mean-reverting after initial observations are dropped. Hysteresis in EU unemployment is attributed to idiosyncratic, but not to common components. The findings might reflect a different regulation of labour markets and a lower degree of migration in the EU.