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Multiple shifts and fractional integration in the US and UK unemployment rates

Listed author(s):
  • Guglielmo Caporale

    ()

  • Luis Gil-Alana

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File URL: http://hdl.handle.net/10.1007/s12197-008-9058-y
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Article provided by Springer & Academy of Economics and Finance in its journal Journal of Economics and Finance.

Volume (Year): 33 (2009)
Issue (Month): 4 (October)
Pages: 364-375

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Handle: RePEc:spr:jecfin:v:33:y:2009:i:4:p:364-375
DOI: 10.1007/s12197-008-9058-y
Contact details of provider: Web page: http://www.springer.com

Web page: http://economics-finance.org/

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Order Information: Web: http://www.springer.com/economics/journal/12197/PS2

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  1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  2. 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.
  3. Gil-Alana, Luis A., 2000. "Mean reversion in the real exchange rates," Economics Letters, Elsevier, vol. 69(3), pages 285-288, December.
  4. 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.
  5. Cross, Rod B, 1987. " Hysteresis and Instability in the Natural Rate of Unemployment," Scandinavian Journal of Economics, Wiley Blackwell, vol. 89(1), pages 71-89.
  6. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
  7. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
  8. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Chapters, in: NBER Macroeconomics Annual 1986, Volume 1, pages 15-90 National Bureau of Economic Research, Inc.
  9. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  10. David Blanchflower & Richard Freeman, 1993. "Did the Thatcher Reforms Change British Labour Market Performance?," CEP Discussion Papers dp0168, Centre for Economic Performance, LSE.
  11. Bianchi, Marco & Zoega, Gylfi, 1997. "Challenges facing natural rate theory," European Economic Review, Elsevier, vol. 41(3-5), pages 535-547, April.
  12. Anderton, Robert, 1998. "Policy Regimes and the Persistence of Wage Inflation and Unemployment," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(4), pages 418-438, September.
  13. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
  14. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
  15. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
  16. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
  17. L. A. Gil-AlaƱa & 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.
  18. Gil-Alana, Luis A., 1999. "Testing fractional integration with monthly data," Economic Modelling, Elsevier, vol. 16(4), pages 613-629, December.
  19. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
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