Luis A. Gil-Alana () (School of Economics and Business Administration, University of Navarra) S.G. Brian Henry () (Director of the Center for International Macroeconomics)
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This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the low frequency dynamics underlying the series. The conclusions suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate, with the order of integration of unemployment ranging between 0.50 and 1. Thus, unemployment shows the characteristics of long memory but is mean reverting.
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number
10/03.
Length: 19 pages pages Date of creation: May 2003 Date of revision: Publication status: Published, Oxford Bulletin of Economics and Statistics, 2003, vol. 65(2): pp. 221-240 Handle: RePEc:una:unccee:wp1003
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
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