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

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. Copyright 2002 by Kluwer Academic Publishers