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Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach

Author

Listed:
  • Ricardo Gonçalves Silva

    (University of São Paulo at ICMC)

  • Marinho Gomes Andrade

    (University of São Paulo at ICMC)

  • Milton Barossi-Filho

    (University of São Paulo at FEA-RP)

Abstract

The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of Moments (GMM). Furthermore, in order to cover a lack in econometric literature, an asymptotic theory for the Yule-Walker estimators of autoregressive parameters is developed. The paper provides some insights on estimating MASAR models when one of its component has a possible unit root. The obtained results are consistent to the literature and produce reasonable forecasts for NAIRU.

Suggested Citation

  • Ricardo Gonçalves Silva & Marinho Gomes Andrade & Milton Barossi-Filho, 2004. "Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach," Econometrics 0408003, University Library of Munich, Germany, revised 13 Aug 2004.
    • Handle: RePEc:wpa:wuwpem:0408003
    Note: Type of Document - pdf; pages: 26
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Ghysels, Eric & Perron, Pierre, 1993. "The effect of seasonal adjustment filters on tests for a unit root," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
    3. Carlos Henrique Corseuil & Gustavo Gonzaga & João Vitor Issler, 1996. "Desemprego regional no Brasil: Uma abordagem empírica," Textos para discussão 364, Department of Economics PUC-Rio (Brazil).
    4. Arturo Estrella & Frederic S. Mishkin, 1999. "Rethinking the Role of NAIRU in Monetary Policy: Implications of Model Formulation and Uncertainty," NBER Chapters, in: Monetary Policy Rules, pages 405-436, National Bureau of Economic Research, Inc.
    5. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    6. Douglas O. Staiger & James H. Stock & Mark W. Watson, 1997. "How Precise Are Estimates of the Natural Rate of Unemployment?," NBER Chapters, in: Reducing Inflation: Motivation and Strategy, pages 195-246, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Time series; Inflation; NAIRU; Seasonality; Unit Root;
    All these keywords.

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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