Nonlinearities and Fractional Integration in the US Unemployment Rate*
Tóm tắt
Từ khóa
Tài liệu tham khảo
Beran J., 1999, SEMIFAR Models
Caballero R. J., 1994, ‘The cleansing effect of recessions’, American Economic Review, 84, 1350
Clements M. P., 2002, Why Forecast Performance does not Help us Choose a Model
Dueker M. J., 1998, Non‐monotonic LM Dynamics in Black‐Market Premia
Franses P. H., 1998, Modelling Asymmetric Persistence over the Business Cycle
Friedman M., 1968, ‘The role of monetary policy’, American Economic Review, 58, 1
Hamermesh D. S., 1996, ‘Adjustment costs in factor demand’, Journal of Economic Literature, 34, 1264
Hansen B. E., 1997, ‘Inference in TAR models’, Studies in Nonlinear Dynamics and Econometrics, 2, 1
Lindbeck A., 1988, The Insider–Outsider Theory of Employment and Unemployment
Makridakis S., 1998, Forecasting Methods and Applications
Mitchell W., 1995, ‘Evidence of the unit root hypothesis in quarterly unemployment rates’, Business and Law Faculty, University of Newcastle, NSW, Australia
Montanari A. Rosso R.andTaqqu M. S.(2000).‘A seasonal fractionally differenced ARIMA model applied to the Nile River monthly flows at Aswan’ Water Resources Research Vol.36 pp.1249–1260.
Ooms M., 1995, Flexible Seasonal Long Memory and Economic Time Series
Parker R. E., 1998, ‘The current depth‐of‐recession and unemployment‐rate forecasts’, Studies in Nonlinear Dynamics and Econometrics, 2, 151
Pfann G. A., 1993, Labor Demand and Equilibrium Wage Formation, 1
Press W. H., 1986, Numerical Recipes: The Art of Scientific Computing
Rothman P., 1999, Time Irreversible Unemployment Rates
Skalin J., 2002, ‘Modelling asymmetries and moving equilibria in unemployment rates’, Journal of Econometrics, 110, 135
Strazicich M. C. Tieslau M.andLee J.(2001).‘Hysteresis in unemployment? Evidence from panel unit root tests with structural change’ mimeo Department of Economics University of North Texas Denton TX.
Wilkins N.(2003).‘Fractional integration at a seasonal frequency with an application to quarterly unemployment rates’ mimeo School of Finance and Economics UTS Sydney.