TY  - JOUR
AU  - Gil-Alana, L. A. 
PY  - 2005
TI  - Strong Dependence at the Long Run and the Cyclical Frequencies in the Specification of the US Unemployment Rate
JF  - American Journal of Applied Sciences
VL  - 2
IS  - 2
DO  - 10.3844/ajassp.2005.579.590
UR  - https://thescipub.com/abstract/ajassp.2005.579.590
AB  - 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.