Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach

Ricardo Gonçalves Silva (), Marinho Gomes Andrade and Milton Barossi-Filho
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Marinho Gomes Andrade: University of São Paulo at ICMC
Milton Barossi-Filho: University of São Paulo at FEA-RP

Econometrics from EconWPA

Abstract: The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for Brazilian unemployment time series data. In doing so, we introduce a methodology for estimating mixed additive seasonal autoregressive (MASAR) models, by the Generalized Method of Moments (GMM). Furthermore, in order to cover a lack in econometric literature, an asymptotic theory for the Yule-Walker estimators of autoregressive parameters is developed. The paper provides some insights on estimating MASAR models when one of its component has a possible unit root. The obtained results are consistent to the literature and produce reasonable forecasts for NAIRU.

Keywords: Time series; Inflation; NAIRU; Seasonality; Unit Root (search for similar items in EconPapers)
JEL-codes: E24 C13 C22 C51 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-lam
Date: 2004-08-07, Revised 2004-08-13
Note: Type of Document - pdf; pages: 26
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0408003

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