Semiparametric Estimation of the Fractional Differencing Parameter of Measures of the U.K. Unemployment

被引：2
作者：
Gil-Alana L.A. [1 ,2 ]
机构：
[1] Institut für Statistik und Ökonometrie, Humboldt Universität zu Berlin, Berlin D-10178
[2] Department of Economics, University of Navarre, Pamplona
来源：
Computational Economics | 2002年 / 19卷 / 3期
关键词：
fractional integration; long memory; semiparametric estimation; unemployment;
D O I：
10.1023/A:1015509225232
中图分类号：
学科分类号：
摘要：
The order of integration of different measures of the U. K. unemployment is investigated in this paper by means of semiparametric techniques. Several methods, such as the R\S statistic, along with others proposed by Robinson in a number of papers are applied in this article. The methods perform poorly when using the time domain approaches, however, when using the frequency domain procedures, the results are fairly conclusive, with the order of integration of the series fluctuating around 1.50. © 2002 Kluwer Academic Publishers.
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页码：323 / 339
页数：16
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