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Testing and Estimating Persistence in Canadian Unemployment Author info | Abstract | Publisher info | Download info | Related research | Statistics Ossama Mikhail
Curtis J. Eberwein
Jagdish Handa
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A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions. This paper tests for persistence in Canadian sectoral unemployment, using the modified rescaled-range test. Our results show evidence of persistence in sectoral unemployment that translates to persistence in aggregate unemployment. To quantify this aggregate-level persistence, we estimate it within the framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short and intermediate run.
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Paper provided by EconWPA in its series Econometrics with number
0311004.
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Date of creation: 11 Nov 2003Date of revision:
Handle: RePEc:wpa:wuwpem:0311004Note: Type of Document - pdfContact details of provider: Web page: http://129.3.20.41
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Keywords: ARFIMA Fractional Integrated Bayesian Unemployment Persistence Canada Rescaled-Range Statistic Other versions of this item:
Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
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