IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v38y2006i15p1809-1819.html
   My bibliography  Save this article

Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA

Author

Listed:
  • O. Mikhail
  • C. J. Eberwein
  • J. Handa

Abstract

The degree of persistence in aggregate Canadian unemployment is estimated within a Bayesian ARFIMA class of models. The results conclude that unemployment exhibits persistence in the short and intermediate run. The evidence of persistence is stronger than previously reported by Koustas and Veloce (1996). This persistence cast a vital implication regarding disinflation policies, Based on the unemployment rate, these policies will prove very costly in terms of lost output and - if implemented - they considerably lengthen recessions.

Suggested Citation

  • O. Mikhail & C. J. Eberwein & J. Handa, 2006. "Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1809-1819.
    • Handle: RePEc:taf:applec:v:38:y:2006:i:15:p:1809-1819
    DOI: 10.1080/00036840500427023
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840500427023
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036840500427023?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. George W. Stadler, 1994. "Real Business Cycles," Journal of Economic Literature, American Economic Association, vol. 32(4), pages 1750-1783, December.
    2. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
    3. Osiewalski, Jacek & Steel, Mark F. J., 1993. "Robust bayesian inference in elliptical regression models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 345-363.
    4. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139, Decembrie.
    5. Min, Chung-ki & Zellner, Arnold, 1993. "Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
    6. Luis Gil-Alana, 2004. "Modelling the US real GNP with fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 873-879.
    7. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
    8. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    9. G. J. Janacek, 1982. "Determining The Degree Of Differencing For Time Series Via The Log Spectrum," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 177-183, May.
    10. Koustas, Z. & Veloce, W., 1994. "Unemployment Hysteresis in Canada: An Approach Based on Long-Memory Time Series Models," Working Papers 1994-5, Brock University, Department of Economics.
    11. Zhongmin Wu, 2003. "The persistence of regional unemployment: evidence from China," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1417-1421.
    12. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
    13. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
    14. Ossama Mikhail & Curtis Eberwein & Jagdish Handa, 2005. "Testing for persistence in aggregate and sectoral Canadian unemployment," Applied Economics Letters, Taylor & Francis Journals, vol. 12(14), pages 893-898.
    15. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    16. Poirier, Dale J., 1997. "Comparing and choosing between two models with a third model in the background," Journal of Econometrics, Elsevier, vol. 78(2), pages 139-151, June.
    17. Kurt Kratena, 2000. "Sectoral shifts and unemployment persistence," Applied Economics, Taylor & Francis Journals, vol. 32(10), pages 1233-1240.
    18. Erhard Reschenhofer & Benedikt M. Pötscher & Michael A. Hauser, 1999. "Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures," Empirical Economics, Springer, vol. 24(2), pages 243-269.
    19. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-177, Supplemen.
    20. Chung, Ching-Fan & Baillie, Richard T, 1993. "Small Sample Bias in Conditional Sum-of-Squares Estimators of Fractionally Integrated ARMA Models," Empirical Economics, Springer, vol. 18(4), pages 791-806.
    21. Sang-Kuck Chung, 2000. "Asymptotics of trend stationary fractionally integrated ARMA models," Applied Economics, Taylor & Francis Journals, vol. 32(12), pages 1509-1514.
    22. Luis Gil-Alana, 2001. "The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models," Applied Economics, Taylor & Francis Journals, vol. 33(10), pages 1263-1269.
    23. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
    2. Firouz Fallahi & Gabriel Rodríguez, 2011. "Persistence of Unemployment in the Canadian Provinces," International Regional Science Review, , vol. 34(4), pages 438-458, October.
    3. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.
    4. Andréa Zaitune Curi & Naércio Aquino Menezes-Filho, 2005. "A Relação Entre O Desempenho Escolar E Os Salários No Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 158, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ossama Mikhail & Curtis J. Eberwein & Jagdish Handa, 2003. "Testing and Estimating Persistence in Canadian Unemployment," Econometrics 0311004, University Library of Munich, Germany.
    2. Koop, Gary & Ley, Eduardo & Osiewalski, Jacek & Steel, Mark F. J., 1997. "Bayesian analysis of long memory and persistence using ARFIMA models," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 149-169.
    3. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    4. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2005. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Trinity Economics Papers tep20021, Trinity College Dublin, Department of Economics.
    5. L.A. Gil-Alana, 2005. "Fractional Cyclical Structures & Business Cycles in the Specification of the US Real Output," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 99-126.
    6. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    7. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
    8. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    9. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
    10. Morten Ørregaard Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 405-443.
    11. Martin, Vance L. & Wilkins, Nigel P., 1999. "Indirect estimation of ARFIMA and VARFIMA models," Journal of Econometrics, Elsevier, vol. 93(1), pages 149-175, November.
    12. Andréa Zaitune Curi & Naércio Aquino Menezes-Filho, 2005. "A Relação Entre O Desempenho Escolar E Os Salários No Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 158, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    13. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    14. Tawadros, George B., 2011. "The stylised facts of Australia's business cycle," Economic Modelling, Elsevier, vol. 28(1), pages 549-556.
    15. Coleman, Simeon, 2010. "Inflation persistence in the Franc zone: Evidence from disaggregated prices," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 426-442, March.
    16. B. Verspagen & G. Silverberg, 2000. "A note on Michelacci and Zaffaroni, long memory, and time series of economic growth," Working Papers 00.17, Eindhoven Center for Innovation Studies.
    17. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    18. Amado Peiró, 2000. "Economic Comovements In European Countries," Working Papers. Serie EC 2000-19, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    19. Maravall, A. & del Rio, A., 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
    20. Klaus Reiner Schenk-Hopp�, "undated". "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series (Revised Version)," IEW - Working Papers 054, Institute for Empirical Research in Economics - University of Zurich.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:38:y:2006:i:15:p:1809-1819. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.