Testing the order of integration of the UK Unemployment
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.
Volume (Year): 2 (2002)
Issue (Month): 1 ()
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- repec:adr:anecst:y:2001:i:62 is not listed on IDEAS
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- repec:adr:anecst:y:2001:i:62:p:06 is not listed on IDEAS
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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.
- 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.
- Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
- Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
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