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2005-09-29Buch DOI: 10.18452/3388
A Fractionally Integrated Exponential Model for U.K. Unemployment
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:49:53Z
dc.date.available2017-06-15T20:49:53Z
dc.date.created2005-09-29
dc.date.issued2005-09-29
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4040
dc.description.abstractFractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any particular ARMA specification for its short-run components, which, in general, requires many more parameters to estimate. The results indicate that this exponential model, confounded with fractional integration, may be a feasible way of modelling unemployment, also showing that its order of integration is much higher than one and thus, leading to the conclusion that the standard practice of taking first differences may lead to erroneous results.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectlong memoryeng
dc.subjectunemploymenteng
dc.subjectfractional integrationeng
dc.subject.ddc330 Wirtschaft
dc.titleA Fractionally Integrated Exponential Model for U.K. Unemployment
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10047937
dc.identifier.doihttp://dx.doi.org/10.18452/3388
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages22
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2000
local.edoc.container-issue67
local.edoc.container-year2000
local.edoc.container-erstkatid2135319-0

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