المستودع الأكاديمي جامعة المدينة

Non-linearities and fractional integration in the US unemployment rate

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dc.creator Caporale, Guglielmo Maria
dc.creator Gil-Alana, Luis A.
dc.date 2004
dc.date.accessioned 2013-10-16T07:03:45Z
dc.date.available 2013-10-16T07:03:45Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19231
dc.identifier ppn:377314404
dc.identifier RePEc:zbw:hwwadp:26232
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19231
dc.description This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of the labour demand variables (real oil prices and real interest rates). We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, hence giving support to more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with implications for both forecasting and policymaking.
dc.language eng
dc.publisher
dc.relation HWWA Discussion Paper 259
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E32
dc.subject C32
dc.subject ddc:330
dc.subject Unemployment
dc.subject Asymmetries
dc.subject Nonlinearities
dc.subject Fractional Integration
dc.subject Persistence
dc.subject Long Memory
dc.subject Arbeitslosigkeit
dc.subject Zeitreihenanalyse
dc.subject Hysteresis
dc.subject Schätzung
dc.subject Theorie
dc.subject Vereinigte Staaten
dc.title Non-linearities and fractional integration in the US unemployment rate
dc.type doc-type:workingPaper


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