Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates
AbstractThe asymmetry or counter-cyclical nature and its influence on the persistence of the number of registered unemployed is one of the classic subjects of analysis in economic theory, which has not been tackled in the studies carried out on Spanish unemployment, focusing on demonstrating its long memory and generating macro-economic models with autoregressive vectors in which the unemployment variable is presumed to be non-stationary and co-integrated. Its consideration in this article, with smooth transition autoregressive (STAR) models, which detect the different existing regimes and the velocity of change, not only allows us to improve the short-term specification and forecast of the variable, but also it leads us to suppose, the same as Skalin and Teräsvirta (2002), a behaviour for unemployment which is locally non-stationary in a globally stable model.
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Bibliographic InfoPaper provided by EconWPA in its series General Economics and Teaching with number 0406001.
Length: 33 pages
Date of creation: 10 Jun 2004
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Note: Type of Document - pdf; pages: 33
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Persistence; asymmetry; non-linearity; smooth transition autoregressive models; time series; unemployment.;
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
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E24 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-06-13 (All new papers)
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