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Jose Casado () and Javier Trivez Bielsa
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Javier Trivez Bielsa: Universidad de Zaragoza

General Economics and Teaching from University Library of Munich, Germany

Abstract: The asymmetry or counter-cyclical nature and its influence on the persistence of the number of registered unemployed is one of the classic subjects of analysis in economic theory, which has not been tackled in the studies carried out on Spanish unemployment, focusing on demonstrating its long memory and generating macro-economic models with autoregressive vectors in which the unemployment variable is presumed to be non-stationary and co-integrated. Its consideration in this article, with smooth transition autoregressive (STAR) models, which detect the different existing regimes and the velocity of change, not only allows us to improve the short-term specification and forecast of the variable, but also it leads us to suppose, the same as Skalin and Teräsvirta (2002), a behaviour for unemployment which is locally non-stationary in a globally stable model.

Keywords: Persistence; asymmetry; non-linearity; smooth transition autoregressive models; time series; unemployment. (search for similar items in EconPapers)
JEL-codes: C22 C52 E24 (search for similar items in EconPapers)
Date: 2004-06-10
Note: Type of Document - pdf; pages: 33
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