I own a Nikon D5000 and the Wikipedia page says that :
Continuous shooting 4 frame/s for 67 Large Fine JPEG or 11 RAW frames
Does this mean that keeping the camera in NEF (RAW) mode increases the frame rate?
The rate is 4 frames per second in either case. The difference is in how long it can keep it up — 67 JPEG files of the "large fine" quality level, or 11 RAW frames. That's because it can basically keep going as long as it has RAM to buffer the files, and has to slow down as soon as it has to actually start saving to relatively pokey flash memory. The limit is lower for RAW files simply because they're larger and consume more of the buffer.
There's some notes on this in dpreview's D5000 article, where they confirm the rate of 4.0 fps, and in their testing get 100 Large-Fine JPEGs and 11 RAW files. The difference in the number of JPEGs probably comes down to the compressiblity of their test scene. They also note a performance of 2.6 fps once the buffer is full (with either file type), and a limit of just five shots with RAW+JPEG. Turning on Active D-Lighting (which requires more processing per frame) also slows things down.