Caporale, Guglielmo Maria; Gil-Alana, Luis A. - HWWA Institut für Wirtschaftsforschung - 2004
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our … approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the … same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a …