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Testing the order of integration of the UK Unemployment

  • Gil-Alana, Luis A

Tests proposed by Robinson (1994a) for testing unit roots and other fractionally integrated hypotheses are applied in this article to several measures of the U.K. unemployment. The results clearly reject the trend-stationary I(0) representations, but even the unit roots I(1) hypotheses are also rejected in favour of alternatives with d > 1. Thus the standard approach of taking first differences to get I(0) stationary series may be too restrictive, obtaining series with long memory behaviour.

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File URL: http://www.usc.es/economet/reviews/aeid212.pdf
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Article provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.

Volume (Year): 2 (2002)
Issue (Month): 1 ()
Pages:

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Handle: RePEc:eaa:aeinde:v:2:y:2002:i:1_2
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  1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  2. Gil-Alana, L. & Robinson, P.M., 1998. "Testing of Seasonal Fractional Integration in U.K. and Japanese Consumption and Income," Economics Working Papers eco98/20, European University Institute.
  3. L. A. Gil-Alaña & Peter M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," LSE Research Online Documents on Economics 298, London School of Economics and Political Science, LSE Library.
  4. repec:adr:anecst:y:2001:i:62:p:06 is not listed on IDEAS
  5. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
  6. repec:adr:anecst:y:2001:i:62 is not listed on IDEAS
  7. 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.
  8. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
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