Template-Type: ReDIF-Paper 1.0
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Author-Name: Franses, Ph.H.B.F.
Author-Name-Last: Franses
Author-Name-First: Philip Hans
Author-Person: pfr226
Author-Name: Paap, R.
Author-Name-Last: Paap
Author-Name-First: Richard
Author-Person: ppa494
Title: A nonlinear long memory model for US unemployment
Abstract: Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put forward a new time series model and evaluate its empirical performance. We find that the model describes the data rather well and that it outperforms related competitive models on various measures of fit.
Creation-Date: 2000-10-05
File-URL: https://repub.eur.nl/pub/1660/feweco20001005165315.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2000-30/A
Keywords: fractional integration, smooth transition autoregression, time series model specification
Handle: RePEc:ems:eureir:1660