Testing the order of integration of the UK Unemployment

Tests proposed by Robinson (1994a) for testing unit roots and other fractionally integrated hypotheses are applied in this article to several measures of the U.K. unemployment. The results clearly reject the trend-stationary I(0) representations, but even the unit roots I(1) hypotheses are also rejected in favour of alternatives with d > 1. Thus the standard approach of taking first differences to get I(0) stationary series may be too restrictive, obtaining series with long memory behaviour.