Estimation of Fractionally ARIMA Models for the UK Unemployment

Luis Alberiko Gil-Alana ()

Annales d'Economie et de Statistique, 2001, issue 62, pages 127-137

Abstract: The UK unemployment is examined by means of ARFIMA models using Sowell's [1992] estimation procedure. A model-selection strategy based on diagnostic tests on the residuals, along with likelihood criteria is adopted to determine the correct model specification. The results suggest that the UK unemployment is well described as an ARFIMA model, with the order of integration fluctuating between 1 and 2. Thus, the standard approach of first differences leads to series with long memory behaviour.

Date: 2001
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.jstor.org/stable/20076284 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:adr:anecst:y:2001:i:62:p:06

Access Statistics for this article

Annales d'Economie et de Statistique is edited by Robert Gary-Bobo

More articles in Annales d'Economie et de Statistique from ENSAE
Contact information at EDIRC.
Series data maintained by Robert Gary-Bobo ().