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U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis

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  • Manuel Monge

Abstract

This paper investigates the historical behavior of initial unemployment claims (ICSA) in the United States (U.S.) during all the recession periods and epidemic diseases such as Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS) and COVID-19 since 1967 by applying statistical methods based on long range dependence and fractional differentiation. Using unit root tests (ADF, PP and KPSS) we discover that the original time series is stationary I(0) and the subsamples are non-stationary I(1). Finally, to analyze the original time series as well as the several periods corresponding to the recessions that occurred in U.S. and the three epidemic diseases, we use AIC and BIC criterion to fit the best ARFIMA model. We conclude that the results display long memory with a degree of integration strictly below 1 (d ?

Suggested Citation

  • Manuel Monge, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, CEPII research center, issue 167, pages 88-95.
    • Handle: RePEc:cii:cepiie:2021-q3-167-1
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    More about this item

    Keywords

    Unemployment; Unit roots; ARFIMA (p; d; q) models;
    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
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • J20 - Labor and Demographic Economics - - Demand and Supply of Labor - - - General

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