A Fractionally Integrated Exponential Model for UK Unemployment

Luis Gil-Alana

Journal of Forecasting, 2001, vol. 20, issue 5, 329-40

Abstract: Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling UK unemployment. This gives us a better understanding of the low-frequency dynamics affecting the series without relying on any particular ARMA specification for its short-run components which, in general, require many more parameters to estimate. The results indicate that this exponential model, confounded with fractional integration, may be a feasible way of modelling unemployment. It also shows that its order of integration is much higher than one and thus leads to the conclusion that the standard practice of taking first differences may lead to erroneous results. Copyright © 2001 by John Wiley & Sons, Ltd.

Date: 2001
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