Entrepreneurship programmes has frequently been viewed as a policy intervention mechanism for reducing unemployment. Some have gone so far as to propose that entrepreneurship development to be the panacea for unemployment reduction. Theoretical work and empirical results have been inconclusive in relation to whether unemployment fosters self-employment or if it is the other way around. In this empirical study we examine the dynamic relationship between unemployment, self-employment and regional productivity adopting a cross-lagged design to assert the causal relationship between the variables. Results reveal that levels of self-employment and regional productivity predicts decreased unemployment. Results do not reveal unemployment to predict self-employment and regional productivity.