Estimation of Fractionally ARIMA Models for the UK Unemployment
The UK unemployment is examined by means of ARFIMA models using Sowell's  estimation procedure. A model-selection strategy based on diagnostic tests on the residuals, along with likelihood criteria is adopted to determine the correct model specification. The results suggest that the UK unemployment is well described as an ARFIMA model, with the order of integration fluctuating between 1 and 2. Thus, the standard approach of first differences leads to series with long memory behaviour.
Volume (Year): (2001)
Issue (Month): 62 ()
|Contact details of provider:|| Postal: |
Web page: http://annales.ensae.fr/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:adr:anecst:y:2001:i:62:p:06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Robert Gary-Bobo)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.