C. L. Chua () (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) G. C. Lim () (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne) Sarantis Tsiaplias () (Melbourne Institute of Applied Economic and Social Research, The University of Melbourne)
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A forecasting model for unemployment is constructed that exploits the time-series properties of unemployment while satisfying the economic relationships specified by Okun's law and the Phillips curve. In deriving the model, we jointly consider the problem of obtaining estimates of the unobserved potential rate of unemployment consistent with Okun's law and Phillips curve, and associating the potential rate of unemployment to actual unemployment. The empirical example shows that the model clearly outperforms alternative forecasting procedures typically used to forecast unemployment.
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Paper provided by Melbourne Institute of Applied Economic and Social Research, The University of Melbourne in its series Melbourne Institute Working Paper Series with number
wp2009n19.
Length: 27 pages Date of creation: Jul 2009 Date of revision: Handle: RePEc:iae:iaewps:wp2009n19
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Find related papers by JEL classification: C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications E27 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation
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