UK Unemployment Dynamics: a Fractionally Cointegrated Approach

Luis Gil-Alana

Economia Internazionale / International Economics, 2006, vol. 59, issue 1, 33-50

Abstract: This paper examines the relationship between unemployment, real oil prices and real interest rates in the UK by means of fractional cointegration techniques. In doing so, we allow for a much greater degree of flexibility in the dynamic behaviour of the series than the one achieved by the classical I(0)/I(1)based representations. The results indicate that the three series are fractionally cointegrated, implying that there is a slow adjustment process towards a long run equilibrium relationship.

Keywords: Unemployment; Fractional cointegration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (5)

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