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Illusive Persistence in German Unemployment

Published online by Cambridge University Press:  17 August 2016

Rolf Tschernig  and
Klaus F. Zimmermann
Rolf Tschernig
Affiliation:
Universität München
Klaus F. Zimmermann
Affiliation:
Universität München & CEPR, London
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Summary

The non-stationarity of many macroeconomic time-series has lead to an increased demand for economic models that are able to generate fragile equilibria. For instance, the natural unemployment rate is allowed to shift over time depending on past unemployment. Actually, many European unemployment series seem to exhibit a unit root or persistence. This view is questioned in the paper using German data on unemployment. A new class of time-series models, the fractionally integrated ARMA model, that allows the difference parameter to take real values, enables the researcher to separate long memory and short memory in the data. It is shown that using this approach the unit root hypothesis is rejected but unemployment exhibits long memory.

Résumé

Résumé

La non-stationarité de nombreuses séries temporelles macroéconomiques a suscité une demande accrue de modèles économiques capables de générer des équilibres fragiles. Par exemple, le taux de chômage naturel peut varier dans le temps par effet d'hystérésis. En réalité de nombreuses séries sur le chômage en Europe révèlent soit une racine unitaire soit un phénomène de persistence. Notre article qui utilise des données allemandes sur le chômage remet cette perspective en cause. Un nouveau type de modèle pour les séries temporelles - un modèle intégré d'ordre fractionnaires- qui permet aux paramètres de différences de prendre des valeurs réelles, permet de distinguer dans les données ce qui relève d'une mémoire courte ou longue. La mise en œuvre de cette approche conduit à rejetter l'hypothèse de racine unitaire et met en évidence que le chômage s'inscrit dans une perspective de mémoire longue.

Keywords

C22E24J64C22E24J64
Type
Part IV: Time Series Analysis of Output and Employment
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 441 - 453
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

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Footnotes

(*)

We wish to thank Christoph M. Schmidt and the referees for their valuable comments.

References

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