Understanding the Brazilian Unemployment Structure: A Mixed Autoregressive Approach
نویسندگان
چکیده
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.
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