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Estimation of Fractionally ARIMA Models for the UK Unemployment

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  • Luis A. Gil-Alana

Abstract

The UK unemployment is examined by means of ARFIMA models using Sowell's [1992] 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.

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  • Luis A. Gil-Alana, 2001. "Estimation of Fractionally ARIMA Models for the UK Unemployment," Annals of Economics and Statistics, GENES, issue 62, pages 127-137.
    • Handle: RePEc:adr:anecst:y:2001:i:62:p:127-137
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    File URL: http://www.jstor.org/stable/20076284
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    Cited by:

    1. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
    2. Gil-Alana, Luis A, 2002. "Testing the order of integration of the UK Unemployment," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 2(1).

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