Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 27 (2010)
Issue (Month): 5 (September)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/30411
Unemployment Structural break MS-ARFIMA process Fractional stochastic convergence;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lee, Hyung S. & Amsler, Christine, 1997. "Consistency of the KPSS unit root test against fractionally integrated alternative," Economics Letters, Elsevier, vol. 55(2), pages 151-160, August.
- Philip Hans Franses & Marius Ooms & Charles S. Bos, 1999.
"Long memory and level shifts: Re-analyzing inflation rates,"
Springer, vol. 24(3), pages 427-449.
- Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998. "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Report EI 9811, Erasmus University Rotterdam, Econometric Institute.
- Charles S. Bos & Philip Hans Franses & Marius Ooms, 1998. "Long Memory and Level Shifts: Re-Analyzing Inflation Rates," Tinbergen Institute Discussion Papers 98-039/4, Tinbergen Institute.
- Bernard, A.B. & Durlauf, S.N., 1993.
"Convergence in International Output,"
93-7, Massachusetts Institute of Technology (MIT), Department of Economics.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-56, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Shimotsu, Katsumi & Phillips, Peter C.B., 2006. "Local Whittle estimation of fractional integration and some of its variants," Journal of Econometrics, Elsevier, vol. 130(2), pages 209-233, February.
- Richard T. Baillie & Young Wook Han & Tae-Go Kwon, 2002. "Further Long Memory Properties of Inflationary Shocks," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 496-510, January.
- Francis Green & Andy Dickerson & Jorge Saba Arbache, 2000.
"A Picture of Wage Inequality and the Allocation of Labour Through a Period of Trade Liberalisation: The Case of Brazil,"
Studies in Economics
0013, Department of Economics, University of Kent.
- Green, Francis & Dickerson, Andy & Saba Arbache, Jorge, 2001. "A Picture of Wage Inequality and the Allocation of Labor Through a Period of Trade Liberalization: The Case of Brazil," World Development, Elsevier, vol. 29(11), pages 1923-1939, November.
- Naércio Aquino Menezes-Filho & Mauro Rodrigues Jr., 2003. "Tecnologia e Demanda por Qualificação na Indústria Brasileira," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(3), pages 569-603, July.
- repec:ebl:ecbull:v:3:y:2007:i:16:p:1-14 is not listed on IDEAS
- Andrew B. Bernard & Steven N. Durlauf, 1994.
"Interpreting Tests of the Convergence Hypothesis,"
NBER Technical Working Papers
0159, National Bureau of Economic Research, Inc.
- Luis A. Gil-Alana & S. G. Brian Henry, 2003.
"Fractional Integration and the Dynamics of UK Unemployment,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 65(2), pages 221-239, 05.
- Luis A. Gil-Alana & S.G. Brian Henry, 2003. "Fractional Integration and the Dynamics of UK Unemployment," Faculty Working Papers 10/03, School of Economics and Business Administration, University of Navarra.
- Diebold, Francis X. & Inoue, Atsushi, 2001.
"Long memory and regime switching,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 131-159, November.
- Marston, Stephen T, 1985. "Two Views of the Geographic Distribution of Unemployment," The Quarterly Journal of Economics, MIT Press, vol. 100(1), pages 57-79, February.
- Gustavo Gonzaga & Naércio Menezes Filho & Cristina Terra, 2006.
"Trade Liberalization and the Evolution of Skill Earnings Differentials in Brazil,"
Development Working Papers
216, Centro Studi Luca d\'Agliano, University of Milano.
- Gonzaga, Gustavo & Menezes Filho, Naercio & Terra, Cristina, 2006. "Trade liberalization and the evolution of skill earnings differentials in Brazil," Journal of International Economics, Elsevier, vol. 68(2), pages 345-367, March.
- Gustavo Gonzaga & Naércio Menezes Filho & Maria Cristina Terra, 2005. "Trade liberalization and the evolution of skill earnings differentials in Brazil," Textos para discussÃ£o 503, Department of Economics PUC-Rio (Brazil).
- Terra, Maria Cristina T. & Gonzaga, Gustavo & Menezes Filho, Naércio Aquino, 2002. "Trade Liberalization and the Evolution of Skill Earnings Differentials in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 457, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Gonzaga, Gustavo & Menezes Filho, Naércio Aquino & Terra, Maria Cristina T., 2005. "Trade Liberalization and the Evolution of Skill Earnings Differentials in Brazil," Economics Working Papers (Ensaios Economicos da EPGE) 585, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
- Edmund S. Phelps, 1968. "Money-Wage Dynamics and Labor-Market Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 76, pages 678.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Luis Gil-Alana, 2001. "Measuring unemployment persistence in terms of I(d) statistical models," Applied Economics Letters, Taylor and Francis Journals, vol. 8(12), pages 761-763.
- Olivier Jean Blanchard & Lawrence F. Katz, 1992. "Regional Evolutions," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 23(1), pages 1-76.
- 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.
- Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe, 2008. "Long Memory Testing In The Time Domain," Econometric Theory, Cambridge University Press, vol. 24(01), pages 176-215, February.
- Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
- Busetti, Fabio & Taylor, A. M. Robert, 2004. "Tests of stationarity against a change in persistence," Journal of Econometrics, Elsevier, vol. 123(1), pages 33-66, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.