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Estimation of Fractionally ARIMA Models for the UK Unemployment

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  • Luis A. GIL-ALANA

Abstract

The UK unemployment is examined by means of ARFIMA models using Sowell's [1992] estimation procedure. A model-selection strategy based on diagnostic tests on the residuals, along with likelihood criteria is adopted to determine the correct model specification. The results suggest that the UK unemployment is well described as an ARFIMA model, with the order of integration fluctuating between 1 and 2. Thus, the standard approach of first differences leads to series with long memory behaviour.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (2001)
Issue (Month): 62 ()
Pages: 127-137

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Handle: RePEc:adr:anecst:y:2001:i:62:p:06

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Cited by:
  1. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
  2. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
  3. Fernando Sanchez Losada & Daniel Cardona, 2005. "The Unemployment Benefit System: a Redistributive or an Insurance Institution?," Working Papers in Economics 129, Universitat de Barcelona. Espai de Recerca en Economia.

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