Fractional integration and the dynamics of UK unemployment

Arbeitspapier

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the low frequency dynamics underlying the series. The conclusions suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate, with the order of integration of unemployment ranging between 0.50 and 1. Thus, unemployment shows the characteristics of long memory but is mean reverting.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 373 Discussion Paper ; No. 2000,14

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Evaluation, Validation, and Selection ; Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
• Thema: long memory ; unemployment ; fractional integration

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gil-Alaña, Luis A. ; Henry, Brian
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (wo): Berlin
• (wann): 2000

Weitere Informationen

• Handle: http://hdl.handle.net/10419/62227
• URN: urn:nbn:de:kobv:11-10047180
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ