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Testing Unemployment Theories: A Multivariate Long Memory Approach

Guglielmo Maria Caporale, Luis Gil-Alana and Yuliya Lovcha ()

No 1345, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper investigates the empirical relevance of different unemployment theories 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

Keywords: Unemployment rate; Multivariate long memory; Fractional integration (search for similar items in EconPapers)
JEL-codes: C22 C32 E24 (search for similar items in EconPapers)
Pages: 17 p.
Date: 2013
New Economics Papers: this item is included in nep-mac
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Related works:
Journal Article: Testing unemployment theories: A multivariate long memory approach (2016) Downloads
Journal Article: Testing Unemployment Theories: A Multivariate Long Memory Approach (2016) Downloads
Working Paper: Testing Unemployment Theories: A Multivariate Long Memory Approach (2014) Downloads
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