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Asymmetry, Persistence And Non-Linearity Of Spanish Unemployment Rates

Listed author(s):
  • Jose Maria Casado Garcia

    (University College London)

  • Javier Trivez Bielsa

    (Universidad de Zaragoza)

The asymmetry or counter-cyclical nature and its influence on the persistence of the number of registered unemployed is one of the classic subjects of analysis in economic theory, which has not been tackled in the studies carried out on Spanish unemployment, focusing on demonstrating its long memory and generating macro-economic models with autoregressive vectors in which the unemployment variable is presumed to be non-stationary and co-integrated. Its consideration in this article, with smooth transition autoregressive (STAR) models, which detect the different existing regimes and the velocity of change, not only allows us to improve the short-term specification and forecast of the variable, but also it leads us to suppose, the same as Skalin and Teräsvirta (2002), a behaviour for unemployment which is locally non-stationary in a globally stable model.

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Paper provided by EconWPA in its series General Economics and Teaching with number 0406001.

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Length: 33 pages
Date of creation: 10 Jun 2004
Handle: RePEc:wpa:wuwpgt:0406001
Note: Type of Document - pdf; pages: 33
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