Testing and Estimating Persistence in Canadian Unemployment

O. Mikhail (), Curtis J. Eberwein and Jagdish Handa ()

Econometrics from EconWPA

Abstract: A vital implication of unemployment persistence applies to the Bank of Canada's disinflation policies since it adversely influences unemployment and considerably lengthens recessions. This paper tests for persistence in Canadian sectoral unemployment, using the modified rescaled-range test. Our results show evidence of persistence in sectoral unemployment that translates to persistence in aggregate unemployment. To quantify this aggregate-level persistence, we estimate it within the framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short and intermediate run.

Keywords: ARFIMA; Fractional Integrated; Bayesian; Unemployment Persistence; Canada; Rescaled-Range Statistic (search for similar items in EconPapers)
JEL-codes: C11 C22 E24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2003-11-11
Note: Type of Document - pdf
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0311004

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