A Cyclical Long Memory Model for US Unemployment

Guglielmo Maria Caporale, Sergio Di Nallo Serrano, Sergio E. García Bermejo and Luis Alberiko Gil-Alana

No 13026, CESifo Working Paper Series from CESifo

Abstract: This paper examines the cyclical structure of the monthly US unemployment rate using an approach that differs from the stationary I(0) and unit root cycle ones. In particular, the model specification allows for the spectrum to explode at a frequency away from zero. This long memory component enables us to approximate the length of the cycle such that shocks can have transitory but persistent effects. The empirical results show the adequacy of the proposed framework to capture the observed behaviour of the monthly US unemployment rate.

Keywords: US unemployment rate; stochastic cycles; long memory (search for similar items in EconPapers)
JEL-codes: C22 E24 J64 (search for similar items in EconPapers)
Date: 2026
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