Testing the Order of Integration of the U.K. Unemployment
20 Pages Posted: 14 Aug 2008
Date Written: August 13, 2008
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.
Keywords: Unemployment in UK, Unit roots, Fractionally Integrated Series
JEL Classification: C22, C5
Suggested Citation: Suggested Citation