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Non-Linearities And Fractional Integration In The Us Unemployment Rate Author info | Abstract | Publisher info | Download info | Related research | Statistics Guglielmo Maria Caporale ()
Luis A. Gil-Alana
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This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard null limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of the labour demand variables (real oil prices and real interest rates). We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather than a NAIRU model with an underlying unemployment equilibrium rate, thereby giving support to more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with implications for both forecasting and policy-making.
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Paper provided by Economics and Finance Section, School of Social Sciences, Brunel University in its series Economics and Finance Discussion Papers with number
04-17.
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Length: 25 pages
Date of creation: Oct 2004Date of revision:
Handle: RePEc:bru:bruedp:04-17Contact details of provider: Postal: Brunel University, Uxbridge, Middlesex UB8 3PH, UK
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Article Paper Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005.
"Non-Linearities And Fractional Integration In The Us Unemployment Rate ,"
Economics and Finance Discussion Papers
05-17, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!] Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004.
"Non-Linearities And Fractional Integration In The Us Unemployment Rate ,"
Public Policy Discussion Papers
04-17, Economics and Finance Section, School of Social Sciences, Brunel University.
[Downloadable!] Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004.
"Non-Linearities and Fractional Integration in the US Unemployment Rate ,"
Discussion Paper Series
26232, Hamburg Institute of International Economics.
[Downloadable!] This paper has been announced in the following NEP Reports :
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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.)
Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006.
"Modelling Structural Breaks In The Us, Uk And Japanese Unemployment Rates ,"
Economics and Finance Discussion Papers
06-10, Economics and Finance Section, School of Social Sciences, Brunel University.
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Other versions: Marika Karanassou & Hector Sala & Dennis Snower, 2008.
"Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective ,"
Kiel Working Papers
1441, Kiel Institute for the World Economy.
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Marika Karanassou & Hector Sala & Dennis J. Snower, 2006.
"Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective ,"
Working Papers
573, Queen Mary, University of London, Department of Economics.
[Downloadable!] Marika Karanassou & Hector Sala & Dennis J. Snower, 2008.
"Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective ,"
Discussion Papers
2008-08, School of Economics, The University of New South Wales.
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"Phillips Curves and Unemployment Dynamics: A Critique and a Holistic Perspective ,"
IZA Discussion Papers
2265, Institute for the Study of Labor (IZA).
[Downloadable!]
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