Unemployment hysteresis in Canada: an approach based on long-memory time series models

Autor:	William Veloce, Zisimos Koustas
Rok vydání:	1996
Předmět:	Economics and Econometrics Shock (economics) Series (mathematics) Hysteresis (economics) media_common.quotation_subject Unemployment Econometrics Univariate Economics Persistence (discontinuity) Decomposition of time series Autoregressive fractionally integrated moving average media_common
Zdroj:	Applied Economics. 28:823-831
ISSN:	1466-4283 0003-6846
DOI:	10.1080/000368496328263
Popis:	Long-memory univariate time series models, known as ARFIMA, are applied to measure shock persistence for Canada and the USA. Both output and unemployment exhibit higher persistence in Canada than in the USA. The finding that the rate of unemployment in Canada exhibits high shock persistence supports the notion of hysteresis in unemployment. The analysis of disaggregated Canadian unemployment rates indicates that hysteresis is most pronounced for adult male workers. The same class of models is used to obtain a generalization of the Beveridge-Nelson decomposition of time series into a permanent and a cyclical component. The permanent component of the Canadian unemployment rate exhibits a kink in the early 1970s.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3e2569bb50dc508dd90b137cd41277aa https://doi.org/10.1080/000368496328263 Zobrazit plný text záznamu Plný text ve formátu PDF