Arbeitspapier

A fractionally integrated exponential model for UK unemployment

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Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any particular ARMA specification for its short-run components, which, in general, requires many more parameters to estimate. The results indicate that this exponential model, confounded with fractional integration, may be a feasible way of modelling unemployment, also showing that its order of integration is much higher than one and thus, leading to the conclusion that the standard practice of taking first differences may lead to erroneous results.

Language
Englisch

Bibliographic citation
Series: SFB 373 Discussion Paper ; No. 2000,67

Classification
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Subject
long memory
unemployment
fractional integration

Event
Geistige Schöpfung
(who)
Gil-Alaña, Luis A.
Event
Veröffentlichung
(who)
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
(where)
Berlin
(when)
2000

Handle
URN
urn:nbn:de:kobv:11-10047937
Last update
10.03.2025, 11:44 AM CET

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Object type

  • Arbeitspapier

Associated

  • Gil-Alaña, Luis A.
  • Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

  • 2000

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