The persistence of unemployment in the USA and Europe in terms of fractionally ARIMA models

This article examines the persistence of unemployment in the USA and four European countries by means of fractionally integrated ARMA (ARFIMA) models. In doing so, a type of flexibility in modelling low-frequency dynamics not achieved by non-fractionally ARIMA models can be provided. The results indicate that the unemployment series are much more persistent in some countries such as the UK and France, than in others including Germany or the USA.