Forecasting Australian Unemployment Rates using Spectral Analysis
AbstractUnivariate spectral analysis is used to model seasonally unadjusted quarterly unemployment rate data for Australia, 1978(2) to 2002(3). Data are tested for three categories: persons, males and females. Dynamic out-of-sample forecasts are made for 8 quarters using spectral analysis models evaluated against ARIMA model counterparts. It is found that the spectral analysis models achieve higher levels of forecasting accuracy than ARIMA counterparts, including turning point forecast accuracy. These results emerge in spite of weaker in-sample explanatory power of the spectral models against the ARIMA models. It is concluded the results suggest that the spectral model is ultimately better attuned to the various cyclical forces of the past unfolding into the future.
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Bibliographic InfoArticle provided by Bankwest Curtin Economics Centre (BCEC), Curtin Business School in its journal Australian Journal of Labour Economics.
Volume (Year): 7 (2004)
Issue (Month): 4 (December)
Contact details of provider:
Postal: GPO Box U1987, Perth WA 6845
Web page: http://business.curtin.edu.au/research/publications/journals/ajle/
More information through EDIRC
Unemployment; Models; Duration; Incidence; and Job Search Econometric and Statistical Methods; Econometric Methods: Single Equation Models; Single Variables: Time-Series Models;
Find related papers by JEL classification:
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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