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Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis

Author

Listed:
  • Luis a. Gil-alana

    (Universidad de Navarra)

  • Liang Jiang

    (Department of Real Estate, Chongqing University)

Abstract

This paper deals with the analysis of US unemployment by means of I(d) techniques and using two different measures, the unemployment rate and the initial claims at different data frequencies. The results indicate that the unemployment rate series are I(d) with d constrained between 0.5 and 1, while the initial claim series display orders of integration close to 1. Thus, mean reversion is only obtained in case of the unemployment rate while the hysteresis hypothesis seems to be supported by the claimant counts.

Suggested Citation

  • Luis a. Gil-alana & Liang Jiang, 2013. "Unemployment in the US. Unemployment rate versus claimant counts. Mean reversion, persistence or hysteresis," Economics Bulletin, AccessEcon, vol. 33(3), pages 1978-1982.
    • Handle: RePEc:ebl:ecbull:eb-11-00705
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I3-P185.pdf
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    References listed on IDEAS

    as
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    3. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    4. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
    5. Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
    6. Cross, Rod B, 1987. " Hysteresis and Instability in the Natural Rate of Unemployment," Scandinavian Journal of Economics, Wiley Blackwell, vol. 89(1), pages 71-89.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Marco Guerrazzi & Ilham Ksebi, 2019. "Measuring Unemployment by Means of Official Data and Administrative Records: Empirical and Theoretical Perspectives," QUADERNI DI ECONOMIA DEL LAVORO, FrancoAngeli Editore, vol. 2019(110), pages 17-49.

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    More about this item

    Keywords

    Unemployment rate; persistence; long memory;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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