Forecasting Australian Unemployment Rates using Spectral Analysis
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 7 (2004)
Issue (Month): 4 (December)
|Contact details of provider:|| Web page: http://business.curtin.edu.au/research/publications/journals/ajle/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Skalin, Joakim & Teräsvirta, Timo, 1998.
"Modelling asymmetries and moving equilibria in unemployment rates,"
SSE/EFI Working Paper Series in Economics and Finance
262, Stockholm School of Economics, revised 05 Oct 1998.
- Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
- Daniel Levy, 2004.
"Cointegration in Frequency Domain,"
- Blanchard, Olivier Jean, 1991.
"Wage Bargaining and Unemployment Persistence,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 23(3), pages 277-92, August.
- Layard, Richard & Nickell, Stephen & Jackman, Richard, 1991.
"Unemployment: Macroeconomic Performance and the Labour Market,"
Oxford University Press, number 9780198284345.
- Layard, Richard & Nickell, Stephen & Jackman, Richard, 2005. "Unemployment: Macroeconomic Performance and the Labour Market," OUP Catalogue, Oxford University Press, number 9780199279173.
- Granger, Clive W J, 1996. "Can We Improve the Perceived Quality of Economic Forecasts?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 455-73, Sept.-Oct.
- Perry, L.J. & Wilson, P.J., 2001.
"The Accord and Strikes: An International Perspective,"
Economics Working Papers
wp01-03, School of Economics, University of Wollongong, NSW, Australia.
- 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.
- R. F. Engle, 1972.
"Band Spectrum Regressions,"
96, Massachusetts Institute of Technology (MIT), Department of Economics.
- 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.
- Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
- Gary Burtless, 2002.
"Can Supply-Side Policies Reduce Unemployment? Lessons from North America,"
Australian Economic Review,
The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 35(1), pages 3-28.
- Gary Burtless, 2002. "Can Supply-Side policies Reduce unemployment? Lessons from North America," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 5(2), pages 115-142, June.
- Gary Burtless, 2001. "Can Supply-Side Policies Reduce Unemployment? Lessons from North America," CEPR Discussion Papers 440, Centre for Economic Policy Research, Research School of Economics, Australian National University.
- 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.
- Philip Rothman, .
"Forecasting Asymmetric Unemployment Rates,"
9618, East Carolina University, Department of Economics.
- 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.
- Guy Debelle & James Vickery, 1998. "The Macroeconomics of Australian Unemployment," RBA Annual Conference Volume, in: Guy Debelle & Jeff Borland (ed.), Unemployment and the Australian Labour Market Reserve Bank of Australia.
- 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.
- Harvey, Andrew C, 1978. "Linear Regression in the Frequency Domain," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 507-12, June.
- Im, Eric Iksoon & Cauley, Jon & Sandler, Todd, 1987. "Cycles and Substitutions in Terrorist Activities: A Spectral Approach," Kyklos, Wiley Blackwell, vol. 40(2), pages 238-55.
- Jeff Borland, 1997. "Unemployment in Australia-Prospects and Policies: An Overview," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 30(4), pages 391-404.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-10, April.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ozl:journl:v:7:y:2004:i:4:p:459-480. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alan Duncan)
If references are entirely missing, you can add them using this form.