U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis

Manuel Monge

International Economics, 2021, issue 167, 88-95

Abstract: This paper investigates the historical behavior of initial unemployment claims (ICSA) in the United States (U.S.) during all the recession periods and epidemic diseases such as Severe Acute Respiratory Syndrome (SARS), Middle East Respiratory Syndrome (MERS) and COVID-19 since 1967 by applying statistical methods based on long range dependence and fractional differentiation. Using unit root tests (ADF, PP and KPSS) we discover that the original time series is stationary I(0) and the subsamples are non-stationary I(1). Finally, to analyze the original time series as well as the several periods corresponding to the recessions that occurred in U.S. and the three epidemic diseases, we use AIC and BIC criterion to fit the best ARFIMA model. We conclude that the results display long memory with a degree of integration strictly below 1 (d ?

Keywords: Unemployment; Unit roots; ARFIMA (p,d,q) models (search for similar items in EconPapers)
JEL-codes: C22 E24 J20 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2021-q3-167-1

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