Detecting breaks on the long memory: a case about the brazilian unemployment

This study analyzed the dynamic behavior of the Brazilian unemployment rate, focusing on the persistence level of the series. For this purpose, it was adopted first models of fractionary integration, besides persistence change tests for the series. The first results indicated a non-stationary behavi...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Economia aplicada 2015-12, Vol.19 (4)
Hauptverfasser: Robson Oliveira Lima, Jailson Conceição Teixeira de Oliveira, Murilo Massaru da Silva
Format: Artikel
Sprache:por
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:This study analyzed the dynamic behavior of the Brazilian unemployment rate, focusing on the persistence level of the series. For this purpose, it was adopted first models of fractionary integration, besides persistence change tests for the series. The first results indicated a non-stationary behavior of the series. However, knowing that neglecting a structural break can cause a bias on the parameter estimative, new estimations were made, which results indicated that the unemployment rate presents two different levels of persistence. On the first level, the series is no-stationary, whereas in the second, it is also non-stationary, but it presents a mean reversion feature
ISSN:1413-8050
1980-5330
DOI:10.11606/1413-8050/ea127256