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Disentangling trend and cycle in the EUR-11 unemployment series

Author

Listed:
  • Fabrice Orlandi
  • Karl Pichelmann

Abstract

A variety of statistical methods and econometric techniques can be used attempting to disentangle the non-cyclical trend component of a time series and its purely cyclical part. This paper serves the purpose to demonstrate the potential contribution from the use of unobserved components modelling techniques to decompose the EUR-11 unemployment series. In general, unobserved components models appear to be an attractive and quite flexible tool to discriminate between the cyclical and the trend component in unemployment; in particular, the multivariate version of the model allows to use information contained in the price series to assist the decomposition of the unemployment rate. Consequently, this specification is potentially closer to the NAIRU concept than univariate filtering techniques.

Suggested Citation

  • Fabrice Orlandi & Karl Pichelmann, 2000. "Disentangling trend and cycle in the EUR-11 unemployment series," European Economy - Economic Papers 2008 - 2015 140, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    • Handle: RePEc:euf:ecopap:0140
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    File URL: https://ec.europa.eu/economy_finance/publications/pages/publication11142_en.pdf
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    Citations

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    Cited by:

    1. Berger, Tino & Everaert, Gerdie, 2010. "Labour taxes and unemployment evidence from a panel unobserved component model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 354-364, March.
    2. T. Berger & G. Everaert, 2006. "Re-examining the Structural and the Persistence Approach to Unemployment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/383, Ghent University, Faculty of Economics and Business Administration.
    3. repec:spo:wpecon:info:hdl:2441/7349 is not listed on IDEAS
    4. Bernardina Algieri, 2011. "Modelling export equations using an unobserved component model: the case of the Euro Area and its competitors," Empirical Economics, Springer, vol. 41(3), pages 593-637, December.
    5. Tino Berger, 2011. "Estimating Europe’s natural rates," Empirical Economics, Springer, vol. 40(2), pages 521-536, April.
    6. Gian Luigi Mazzi & Frédéric Reynés & Matthieu Lemoine & Paola Veroni, 2008. "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," Sciences Po publications 2008-34, Sciences Po.
    7. repec:hal:wpspec:info:hdl:2441/7349 is not listed on IDEAS
    8. repec:hal:spmain:info:hdl:2441/7349 is not listed on IDEAS
    9. Tino Berger & Gerdie Everaert, 2008. "Unemployment Persistence And The Nairu: A Bayesian Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(3), pages 281-299, July.

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