Strong Dependence at the Long Run and the Cyclical Frequencies in the Specification of the US Unemployment Rate

Abstract

This study deals with the presence of long range dependence at the long run and the cyclical frequencies in the specification of the US unemployment rate. We use a parametric procedure that permits us to test unit and fractional roots in raw time series. The results show that both the long run and the cyclical structures present a component of long memory behaviour. Additionally, the root at zero seems to be more important than the cyclical one, implying that shocks affecting the long run are more persistent than those affecting the cyclical part. The results are consistent with the empirical fact observed in many macroeconomic series that the long-term evolution is nonstationary, while the cyclical component is stationary and persistent.