Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62227
Authors: 
Gil-Alaña, Luis A.
Henry, Brian
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,14
Abstract: 
This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the low frequency dynamics underlying the series. The conclusions suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate, with the order of integration of unemployment ranging between 0.50 and 1. Thus, unemployment shows the characteristics of long memory but is mean reverting.
Subjects: 
long memory
unemployment
fractional integration
JEL: 
C22
C32
C52
E24
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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