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Testing unemployment theories: A multivariate long memory approach

Author

Listed:
  • Guglielmo Maria Caporale

    (Brunel University London)

  • Luis A. Gil-Alana

    (University of Navarra and NCID)

  • Yuliya Lovcha

    (Universitat Rovira-i-Virgili)

Abstract

This paper investigates the empirical relevance of both the hysteresis and the natural rate hypothesis on unemployment in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary depending on whether the former or the latter approach is followed. Specifically, when taking a univariate approach, the unit root null cannot be rejected in case of the UK and Japanese unemployment series, and some degree of mean reversion (d

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Yuliya Lovcha, 2016. "Testing unemployment theories: A multivariate long memory approach," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 95-112, May.
    • Handle: RePEc:cem:jaecon:v:19:y:2016:n:1:p:95-112
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    References listed on IDEAS

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    1. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2007. "Nonlinearities and Fractional Integration in the US Unemployment Rate," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(4), pages 521-544, August.
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    Cited by:

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    2. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Fumitaka Furuoka & Luis A. Gil‐Alana, 2021. "A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(4), pages 960-981, August.
    3. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
    4. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida, 2019. "Hysteresis of unemployment rates in Africa: new findings from Fourier ADF test," Quality & Quantity: International Journal of Methodology, Springer, vol. 53(6), pages 2781-2795, November.
    5. Niels Framroze Møller, 2019. "Decoding unemployment persistence: an econometric framework for identifying and comparing the sources of persistence with an application to UK macrodata," Empirical Economics, Springer, vol. 56(5), pages 1489-1514, May.
    6. Guglielmo Maria Caporale & Luis Gil-Alana, 2018. "The asymmetric behaviour of spanish unemployment persistence," Economics Bulletin, AccessEcon, vol. 38(1), pages 98-104.
    7. Saša Obradoviæ & Lela Ristiæ & Nemanja Lojanica, 2018. "Are unemployment rates stationary for SEE10 countries? Evidence from linear and nonlinear dynamics," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 559-583.

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    More about this item

    Keywords

    unemployment rate; multivariate long memory; fractional integration;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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