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Unit root cycles in the US unemployment rate

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Author Info
Luis A. Gil-Alana () (Universidad de Navarra)

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Abstract

The annual structure of the U.S. unemployment rate is examined in this article by means of new statistical techniques developed by Robinson (1994), which permit us to test unit root cycles in raw time series. The tests have standard null and local limit distributions and unlike other procedures, they allow us to determine the number of periods per cycle. The results show that the cycles in the U.S. unemployment seem to occur approximately every four or five years.

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File URL: http://www.economicsbulletin.com/2004/volume3/EB-03C20016A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 7 ()
Pages: 1-10
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2004:i:7:p:1-10

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Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
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Related research
Keywords: Unemployment; Unit root cycles.;

Find related papers by JEL classification:
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

References listed on IDEAS
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  1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October. [Downloadable!] (restricted)
  2. Ooms, M., 1995. "Flexible Seasonal Long Memory and Economic Time Series," Papers 9515/a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
  3. Bierens, Herman J., 2001. "Complex Unit Roots And Business Cycles: Are They Real?," Econometric Theory, Cambridge University Press, vol. 17(05), pages 962-983, October. [Downloadable!]
    Other versions:
  4. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-27, June.
  5. Bean, Charles R, 1994. "European Unemployment: A Survey," Journal of Economic Literature, American Economic Association, vol. 32(2), pages 573-619, June. [Downloadable!] (restricted)
  6. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
  7. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December. [Downloadable!] (restricted)
  8. Nickell, Stephen, 1997. "Unemployment and Labor Market Rigidities: Europe versus North America," Journal of Economic Perspectives, American Economic Association, vol. 11(3), pages 55-74, Summer. [Downloadable!] (restricted)
  9. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  10. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114. [Downloadable!]
    Other versions:
  11. Mitchell, William F, 1993. "Testing for Unit Roots and Persistence in OECD Unemployment Rates," Applied Economics, Taylor and Francis Journals, vol. 25(12), pages 1489-1501, December.
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This page was last updated on 2009-11-16.

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