Estimating persistence in Canadian unemployment: evidence from a Bayesian ARFIMA |
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| Authors: | O. Mikhail C. J. Eberwein J. Handa |
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| Affiliation: | 1. Department of Economics , College of Business Administration, University of Central Florida , 4000 Central Florida blvd., Orlando, FL 32816, USA omikhail@bus.ucf.edu;3. Center for Human Resource Research , Ohio State University , 921 Chatham Lane, Suite 100 Columbus, OH 43221, USA;4. Department of Economics , McGill University , 855 Sherbrooke St. West, Montreal, Quebec, H3A 2T7, Canada |
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| Abstract: | The degree of persistence in aggregate Canadian unemployment is estimated within a Bayesian ARFIMA class of models. The results conclude that unemployment exhibits persistence in the short and intermediate run. The evidence of persistence is stronger than previously reported by Koustas and Veloce (1996 Koustas, Z and Veloce, W. 1996. Unemployment hysteresis in Canada: an approach based on long-memory time series models. Applied Economics, 28: 823–31. [Taylor &; Francis Online], [Web of Science ®] , [Google Scholar]). This persistence cast a vital implication regarding disinflation policies, Based on the unemployment rate, these policies will prove very costly in terms of lost output and – if implemented – they considerably lengthen recessions. |
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