Asimetría, Persistencia Y No Linealidad De La Tasa De Desempleo Español
AbstractThe Asymmetry or counter-cycle nature and its influence on the persistence of the registered unemployment rate is a traditional topic of the economics theory’s analysis. However, studies of the Spanish unemployment done up to now have not dealt with asymmetry. General studies about Spanish unemployment have focused all its attention on demonstrating the long-memory of the series and developing macroeconomic models with vector autoregressions in which the unemployment rate is assumed to be nonstationary and cointegrated with other macroeconomics variables. In this paper, we analyze the unemployment rate series using a smooth transition autoregressive model (STAR), which identifies the different regimes-switching and the smoothness of the transition between the two regimes. This process not only allows us to improve the quality of specification and forecast of the variable, but also helps us to reach the same conclusion as Skalin and Teräsvirta (2002), who state that the unemployment rate behaves as locally nonstationary in a globally stable model.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0402006.
Length: 32 pages
Date of creation: 10 Feb 2004
Date of revision:
Note: Type of Document - pdf; prepared on Win98,WinXP; pages: 32
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Persistencia; asimetría; no-linealidad; modelos autorregresivos de transición suave; serie temporal; desempleo.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
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