The objective of this study is to predict unemployment in Indonesia in the wake of the demographic dividend. The sample used in this study is the unemployment data from 1990 to 2022 from the Indonesian Central Bureau of Statistics database. Using non-seasonal ARIMA (Autoregressive Integrated...

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...

The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed...