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Forecasting Asymmetric Unemployment Rates
The Review of Economics and Statistics
Vol. 80, No. 1 (Feb., 1998), pp. 164-168
Published by: The MIT Press
Stable URL: http://www.jstor.org/stable/2646739
Page Count: 5
You can always find the topics here!Topics: Analytical forecasting, Unemployment rates, Statistical models, Time series models, Forecasting models, Economic fluctuations, P values, Economic models, Parametric models, Null hypothesis
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Asymmetric behavior has been documented in postwar quarterly U.S. unemployment rates. This suggests that improvement over conventional linear forecasts may be possible through the use of nonlinear time-series models. In this note an out-of-sample forecasting competition is carried out for a set of leading nonlinear time-series models. It is shown that several nonlinear forecasts do indeed dominate the linear forecast. The results are sensitive, however, to whether a stationarity-inducing transformation is applied to the nonstationary unemployment rate series.
The Review of Economics and Statistics © 1998 The MIT Press