Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA

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Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA

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O. Mikhail
C. J. Eberwein
J. Handa

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Abstract

The degree of persistence in aggregate Canadian unemployment is estimated within a Bayesian ARFIMA class of models. The results conclude that unemployment exhibits persistence in the short and intermediate run. The evidence of persistence is stronger than previously reported by Koustas and Veloce (1996). This persistence cast a vital implication regarding disinflation policies, Based on the unemployment rate, these policies will prove very costly in terms of lost output and -- if implemented -- they considerably lengthen recessions.

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Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 38 (2006)
Issue (Month): 15 (August)
Pages: 1809-1819
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Handle: RePEc:taf:applec:v:38:y:2006:i:15:p:1809-1819

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References listed on IDEAS
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.:

Gary Koop & Eduardo Ley & Jacek Osiewalski & Mark F.J. Steel, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Econometrics 9505001, EconWPA, revised 11 Jul 1995. [Downloadable!]
Other versions:
- Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics. [Downloadable!]
- Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169. [Downloadable!] (restricted)
Koustas, Zisimos & Veloce, William, 1996. "Unemployment Hysteresis in Canada: An Approach Based on Long-Memory Time Series Models," Applied Economics, Taylor and Francis Journals, vol. 28(7), pages 823-31, July. [Downloadable!] (restricted)
Other versions:
- Koustas, Z. & Veloce, W., 1994. "Unemployment Hysteresis in Canada: An Approach Based on Long-Memory Time Series Models," Working Papers 1994-5, Brock University, Department of Economics.
Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March. [Downloadable!] (restricted)
Other versions:
- Min, C.K. & Zellner, A., 1992. "Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates," Papers 90-92-23, California Irvine - School of Social Sciences.
Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen. [Downloadable!] (restricted)
Kratena, Kurt, 2000. "Sectoral Shifts and Unemployment Persistence," Applied Economics, Taylor and Francis Journals, vol. 32(10), pages 1233-40, August. [Downloadable!] (restricted)
Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
Other versions:
- Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278. [Downloadable!] (restricted)
Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2005. "Testing for persistence in aggregate and sectoral Canadian unemployment," Applied Economics Letters, Taylor and Francis Journals, vol. 12(14), pages 893-898, November. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, 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.)

Gomes, F. A. R. & Silva, C. G., 2007. "Measuring Unemployment Persistence of Different Labor Force Groups In the Greater Sao Paulo Metropolitan Area," Ibmec Working Papers wpe_69, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]

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