The Long Memory Property of the Us Unemployment Rate
نویسنده
چکیده
In the last years, the time series properties of the U.S. unemployment rate have become the subject of intensive debate. Despite extensive empirical research many contradictory results have been reported. In order to resolve the question about the degree of integration, I estimate a highly general ARFIMA(p,d,q) model. The empirical evidence suggests that aggregate U.S. unemployment is fractionally integrated.
منابع مشابه
Does Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk?. Evidence from Investing in Iran’s Petrochemical Industry
< p>The present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran''''s Rial) movements using the time series data from November 2008 to March 2019 and ARFIMA-FIGARCH framework. The empirical results prove the existence of the Fractal Market Hypothesis, FMH, and the Long Memory property in both the risk and return of the...
متن کاملDoes Exchange Rate Non-Linear Movements Matter for Analyzing Investment Risk? Evidence from Investing in Iran’s Petrochemical Industry
The present study models the risk of investment in the petrochemical industry considering the impacts of exchange rate (US dollar to Iran's Rial) movements using the time series data from November 2008 to March 2019 and ARFIMA-FIGARCH framework. The empirical results prove the existence of the Fractal Market Hypothesis, FMH, and the Long Memory property in both the risk and return of the petroc...
متن کاملتحلیل و پیشبینی اثرات غیرخطی در بازار نفت
This research aims to introduce an ideal model for forecasting Iranian crude oil price movements. It tries to make an all-out analysis of this energy product. Therefore, we tested the ‘predictability’ hypothesis by using the variance ratio test, BDS test and the chaos series test. Later, a structural analysis is a carried out to investigate possible nonlinear patterns in the series. Lyapunov ex...
متن کاملStudy of the Long Run Relationship Between Good Market Efficiency and Labor Market Efficiency in the Global Competitiveness Index and the Variables of Economic Success (Economic Growth and Unemployment) in Selected Countries of Asia
This study examines the long run relationship between the efficiency component (good market efficiency and labor market efficiency) in the global competitiveness index and the variables of economic success (economic growth and unemployment) by using new econometric methods in selected countries of Asia with the average upward Global Competitiveness Index. This study, in the framework of the Pan...
متن کاملNon-linearities and Fractional Integration in the Us Unemployment Rate
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard limit distribution. The ...
متن کامل