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

Authors

  • Robson Oliveira Lima Instituto Federal de Educação
  • Jailson Conceição Teixeira de Oliveira Faculdade Mauricio de Nassau
  • Murilo Massaru da Silva University of Georgia

DOI:

https://doi.org/10.11606/1413-8050/ea127256

Keywords:

Persistence, labor market, informality

Abstract

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

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Author Biographies

  • Robson Oliveira Lima, Instituto Federal de Educação
    Mestre em Economia pela PPGE/UFPB e Professor no IFPB. João Pessoa, Paraíba, Brasil
  • Jailson Conceição Teixeira de Oliveira, Faculdade Mauricio de Nassau
    Doutorando em Economia pela PPGE/ UFPB e Professor na Faculdade Mauricio de Nassau / JP. João Pessoa, Paraíba, Brasil
  • Murilo Massaru da Silva, University of Georgia
    Mestre em Economia pela PPGE/UFPB e Doutorando em Estatística na University of Georgia. Athens, Georgia, Estados Unidos

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Published

2015-12-09

Issue

Vol. 19 No. 4 (2015)

Section

Papers

How to Cite

Lima, R. O., Oliveira, J. C. T. de, & Silva, M. M. da. (2015). Detecting breaks on the long memory: a case about the brazilian unemployment. Economia Aplicada, 19(4), 611-624. https://doi.org/10.11606/1413-8050/ea127256