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Forecasting Australian Unemployment Rates using Spectral Analysis

  • Patrick J. Wilson

    ()

    (University of Technology, Sydney)

  • L.J. Perry

Univariate spectral analysis is used to model seasonally unadjusted quarterly unemployment rate data for Australia, 1978(2) to 2002(3). Data are tested for three categories: persons, males and females. Dynamic out-of-sample forecasts are made for 8 quarters using spectral analysis models evaluated against ARIMA model counterparts. It is found that the spectral analysis models achieve higher levels of forecasting accuracy than ARIMA counterparts, including turning point forecast accuracy. These results emerge in spite of weaker in-sample explanatory power of the spectral models against the ARIMA models. It is concluded the results suggest that the spectral model is ultimately better attuned to the various cyclical forces of the past unfolding into the future.

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Article provided by Bankwest Curtin Economics Centre (BCEC), Curtin Business School in its journal Australian Journal of Labour Economics.

Volume (Year): 7 (2004)
Issue (Month): 4 (December)
Pages: 459-480

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Handle: RePEc:ozl:journl:v:7:y:2004:i:4:p:459-480
Contact details of provider: Web page: http://business.curtin.edu.au/research/publications/journals/ajle/Email:


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  1. Daniel Levy, 2004. "Cointegration in Frequency Domain," Econometrics 0402005, EconWPA.
  2. L.J. Perry & Patrick J. Wilson, 2000. "The Accord and strikes: an International perspective," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 4(4), pages 232-247, December.
  3. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
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  12. Bodman, Philip M, 1998. "Asymmetry and Duration Dependence in Australian GDP and Unemployment," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 399-411, December.
  13. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
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  16. Max Stevenson & Maurice Peat, 2000. "Forecasting Australian Unemployment Rates," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 4(1), pages 41-55, March.
  17. Tom Valentine, 1993. "The Sources Of Unemployment: A Simple Econometric Analysis," Economic Papers, The Economic Society of Australia, vol. 12(4), pages 1-20, December.
  18. Blanchard, Olivier Jean, 1991. "Wage Bargaining and Unemployment Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(3), pages 277-92, August.
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  20. Tom Valentine, 1993. "The Sources of Unemployment: A Simple Econometric Analysis," Working Paper Series 32, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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