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Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching

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  • de Figueiredo, Erik Alencar

Abstract

This paper investigates unemployment dynamics in Brazil and in its major metropolitan regions using a fractional integration model. Aspects regarding structural breaks and regime switches are discussed as well. To do that, the methods proposed by Hassler and Meller (2009) and Tsay and Härdle (2009) are used. The major results indicate that unemployment rates have two different levels of persistence. The first one is nonstationary whereas the second one is nonstationary but mean-reverting. Based on these findings, the convergence hypothesis of regional unemployment rates was tested. Following the fractional stochastic convergence criterion put forward by Mello and Guimaraes-Filho (2007), it was concluded that regional unemployment rates are convergent.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 27 (2010)
Issue (Month): 5 (September)
Pages: 900-908

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Handle: RePEc:eee:ecmode:v:27:y:2010:i:5:p:900-908

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Unemployment Structural break MS-ARFIMA process Fractional stochastic convergence;

References

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  1. Luis Gil-Alana, 2001. "The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models," Applied Economics, Taylor and Francis Journals, vol. 33(10), pages 1263-1269.
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  22. Naércio Aquino Menezes-Filho & Mauro Rodrigues Jr., 2003. "Tecnologia e Demanda por Qualificação na Indústria Brasileira," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(3), pages 569-603, July.
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