Testing Unemployment Theories: A Multivariate Long Memory Approach

Guglielmo Maria Caporale, Luis Gil-Alana and Yuliya Lovcha

Journal of Applied Economics, 2016, vol. 19, issue 1, 95-112

Abstract: This paper investigates the empirical relevance of both the hysteresis and the natural rate hypothesis on unemployment in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary depending on whether the former or the latter approach is followed. Specifically, when taking a univariate approach, the unit root null cannot be rejected in case of the UK and Japanese unemployment series, and some degree of mean reversion (d

Date: 2016
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Related works:
Journal Article: Testing unemployment theories: A multivariate long memory approach (2016)
Working Paper: Testing Unemployment Theories: A Multivariate Long Memory Approach (2014)
Working Paper: Testing Unemployment Theories: A Multivariate Long Memory Approach (2013)
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DOI: 10.1016/S1514-0326(16)30004-6

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