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Modelling Asymmetries in Unemployment Rate

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Author Info
Alessandra Amendola () (DISES, University of Salerno)
Abstract

In this paper we propose the use of a threshold autoregressive conditional heteroakedastic model to examine the dynamic asymmetries in the unemployment rate time series. A simple extension that allows to account for seasonal variation is also considered. The model performance and the effect of different choices of the threshold variable are investigated on the U.S. unemployment rate time series.

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Publisher Info
Paper provided by CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy in its series CELPE Discussion Papers with number 60.

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Date of creation: Feb 2001
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Handle: RePEc:sal:celpdp:60

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  1. Randall E. Parker & Philip Rothman, . "The Current Depth of Recession and Unemployment Rate Forecasts," Working Papers 9729, East Carolina University, Department of Economics. [Downloadable!]
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  2. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February. [Downloadable!] (restricted)
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  3. Skalin, Joakim & Teräsvirta, Timo, 1998. "Modelling asymmetries and moving equilibria in unemployment rates," Working Paper Series in Economics and Finance 262, Stockholm School of Economics, revised 05 Oct 1998.
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This page was last updated on 2009-12-22.

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