In this paper we propose the use of a threshold autoregressive conditional heteroakedastic model to examine the dynamic asymmetries in the unemployment rate time series. A simple extension that allows to account for seasonal variation is also considered. The model performance and the effect of different choices of the threshold variable are investigated on the U.S. unemployment rate time series.
Modelling Asymmetries in Unemployment Rate
AMENDOLA, Alessandra
2001-01-01
Abstract
In this paper we propose the use of a threshold autoregressive conditional heteroakedastic model to examine the dynamic asymmetries in the unemployment rate time series. A simple extension that allows to account for seasonal variation is also considered. The model performance and the effect of different choices of the threshold variable are investigated on the U.S. unemployment rate time series.File in questo prodotto:
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