Fractional Integration and the Dynamics of UK Unemployment

Luis Gil-Alana and S.G. Brian Henry ()
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S.G. Brian Henry: Director of the Center for International Macroeconomics

No 10/03, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the low frequency dynamics underlying the series. The conclusions suggest that the UK unemployment may be explained in terms of lagged values of the real oil prices and the real interest rate, with the order of integration of unemployment ranging between 0.50 and 1. Thus, unemployment shows the characteristics of long memory but is mean reverting.

JEL-codes: C22 C32 C52 E24 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2003-05-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Published, Oxford Bulletin of Economics and Statistics, 2003, vol. 65(2): pp. 221-240

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Related works:
Journal Article: Fractional Integration and the Dynamics of UK Unemployment (2003)
Working Paper: Fractional integration and the dynamics of UK unemployment (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:una:unccee:wp1003

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