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Testing the order of integration of the UK Unemployment

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  • Gil-Alana, Luis A

Abstract

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.

Suggested Citation

  • 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).
  • Handle: RePEc:eaa:aeinde:v:2:y:2002:i:1_2
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    File URL: http://www.usc.es/economet/reviews/aeid212.pdf
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    References listed on IDEAS

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    1. repec:adr:anecst:y:2001:i:62:p:06 is not listed on IDEAS
    2. L. A. Gil-Alana & P. M. Robinson, 2001. "Testing of seasonal fractional integration in UK and Japanese consumption and income," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 95-114.
    3. 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.
    4. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
    5. repec:adr:anecst:y:2001:i:62 is not listed on IDEAS
    6. Gil-Alaña, L. A. & Robinson, Peter M., 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.
    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., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
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    Cited by:

    1. Zagler, Martin, 2003. "The Dynamics of Economic Growth and Unemployment in Major European Countries: Analysis of Okun´s Law," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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