Illusive Persistence in German Unemployment
The non-stationarity of many macroeconomic time-series has lead to an increased demand for economic models that are able to generate fragile equilibria. For instance, the natural unemployment rate is al- lowed to shift over time depending on past unemployment. Actually, many European unemployment series seem to exhibit a unit root or persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the fractionally integrated ARMA model, that allows the difference parameter to take real values, enables the researcher to separate long memory and short memory in the data. It is shown that using this approach the unit root hypothesis is rejected but unemployment exhibits long memory.
|Date of creation:||01 Sep 1992|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +32 10473945
Web page: http://www.uclouvain.be/iresEmail:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ctl:louvre:1992044. 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: (Sebastien SCHILLINGS)
If references are entirely missing, you can add them using this form.