The UK Unemployment: Long Memory, Seasonality and Other Implicit Dynamics

In this article we want to examine the time series behaviour of the UK unemployment using new statistical tools based on long memory nonstationary processes. In particular, we use a procedure developed by Robinson (1994) that permit us to simultaneously consider unit and fractional roots at the long run and at the seasonal frequencies in raw time series. The results show that the root at the seasonal frequency plays a crucial role when describing the time series behaviour of unemployment, though the root at zero should also be incorporated in the model by itself.