Seasonal Monthly Fractional Integration in the UK Unemployment

Luis Alberiko Gil-Alana ()

The IUP Journal of Applied Economics, 2009, vol. VIII, issue 1, pages 81-96

Abstract: The paper examines the monthly structure of the UK unemployment(Claimant Count, (CC)) by means of fractional integration. The study uses a version of Robinson’s (1994) tests that permit the test of the unit roots with integer or fractional orders of integration. The results show that the CC series can be well described in terms of a fractional process with the roots occurring at both the zero and the seasonal (monthly) frequencies. Moreover, the root at zero seems to be more important than the seasonal one, the order of integration of the former being equal to or higher than 1, while it is strictly smaller than 1 for the seasonal component. Thus, shocks affecting the long run behavior will be permanent, while those affecting the seasonal part will be mean-reverting.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:icf:icfjae:v:08:y:2008:i:1:p:81-96

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