Caporale, Guglielmo Maria; Gil-Alana, Luis A. - In: Oxford Bulletin of Economics and Statistics 69 (2007) 4, pp. 521-544
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange multiplier procedure with a standard null-limit...