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Multiple shifts and fractional integration in the US and UK unemployment rates

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Author Info
Guglielmo Caporale ()
Luis Gil-Alana
Abstract

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File URL: http://hdl.handle.net/10.1007/s12197-008-9058-y
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Publisher Info
Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 33 (2009)
Issue (Month): 4 (October)
Pages: 364-375
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Handle: RePEc:spr:jecfin:v:33:y:2009:i:4:p:364-375

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Related research
Keywords: Unemployment; Persistence; Long Memory; Multiple Shifts; C22; E32;

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References listed on IDEAS
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  1. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295. [Downloadable!] (restricted)
    Other versions:
  2. Bianchi, Marco & Zoega, Gylfi, 1997. "Challenges facing natural rate theory," European Economic Review, Elsevier, vol. 41(3-5), pages 535-547, April. [Downloadable!] (restricted)
  3. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November. [Downloadable!] (restricted)
    Other versions:
  4. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis And The European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  5. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December. [Downloadable!] (restricted)
  6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  7. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November. [Downloadable!] (restricted)
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  8. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December. [Downloadable!] (restricted)
  9. Anderton, Robert, 1998. "Policy Regimes and the Persistence of Wage Inflation and Unemployment," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 66(4), pages 418-38, September.
  10. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May. [Downloadable!] (restricted)
  11. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January. [Downloadable!] (restricted)
  12. Cross, Rod B, 1987. " Hysteresis and Instability in the Natural Rate of Unemployment," Scandinavian Journal of Economics, Blackwell Publishing, vol. 89(1), pages 71-89.
  13. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July. [Downloadable!] (restricted)
    Other versions:
  14. 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:
  15. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November. [Downloadable!] (restricted)
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This page was last updated on 2009-12-8.

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