Persistence and Seasonal Long Memory in Unemployment in the United States

Nome do Pesquisador: Guilherme de Oliveira Lima Cagliari Marques

Agência de fomento: Sem financiamento

Vigência: 02/2016 à 10/2018

Pesquisadores Docentes da UFABC:
Alexei Magalhães Veneziani (CMCC)

Resumo: This paper addresses long-term persistence in U.S. unemployment. Seasonal fractional integration models were applied to evaluate the conjugated effect of seasonal and non-seasonal long memory processes on the dynamics of unemployment rate series. Three levels of data aggregation were analyzed: US states, regional census divisions, and the national unemployment rate. Persistence was analyzed based on original data and after irregular components such as breaks and regimes had been removed using wavelet multi-resolution analysis. Our results have shown that, in both cases, the joint effects of seasonal and non-seasonal long memory processes result in strong persistence in unemployment series, providing strong evidence against the NAIRU hypothesis.

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