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A Cyclical Long Memory Model for US Unemployment

Author

Listed:
  • Guglielmo Maria Caporale
  • Sergio Di Nallo Serrano
  • Sergio E. García Bermejo
  • Luis Alberiko Gil-Alana

Abstract

This paper examines the cyclical structure of the monthly US unemployment rate using an approach that differs from the stationary I(0) and unit root cycle ones. In particular, the model specification allows for the spectrum to explode at a frequency away from zero. This long memory component enables us to approximate the length of the cycle such that shocks can have transitory but persistent effects. The empirical results show the adequacy of the proposed framework to capture the observed behaviour of the monthly US unemployment rate.

Suggested Citation

  • Guglielmo Maria Caporale & Sergio Di Nallo Serrano & Sergio E. García Bermejo & Luis Alberiko Gil-Alana, 2026. "A Cyclical Long Memory Model for US Unemployment," CESifo Working Paper Series 13026, CESifo.
    • Handle: RePEc:ces:ceswps:_13026
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

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