Forecasting Australian Unemployment Rates

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Show simple item record Peat, M. en_US Stevenson, M. J en_US 2009-12-21T03:54:30Z 2009-12-21T03:54:30Z 2001 en_US
dc.identifier 2004004486 en_US
dc.identifier.citation Stevenson, M. and Peat, M. 2001 'Forecasting Australian Unemployment Rates', Australian Journal of Labour Economics, vol. 4, no. 1, pp. 41-55. en_US
dc.identifier.issn 1328-1143 en_US
dc.identifier.other C1 en_US
dc.description.abstract Cyclical asymmetry has been recognized as a non-linear phenomenon in recent studies examining unemployment rate time series. The probabilistic structure of such time series is different during economic upswings as compared with economic downswings. So, with forecasting unemployment rates in mind, it seems intuitive that models should reflect this change in structure by incorporating non-linearities. This allows for the switching in optimizing behaviour between different phases of the business cycle. Accordingly, this paper evaluates the point forecasts from models of the monthly, Australian unemployment rate series, these models being drawn from both the linear and nonlinear classes. The non-linear model is based on a standard logistic smooth transition autoregressive (LSTAR) model of unemployment which includes a lagged leoel term and a seasonal, rather than first-difference transition variable. Forecasts from this model are evaluated against the best-fitting linear autoregressive (AR) alternative. Dynamic point forecasts over twenty four months, suggest that the LSTAR forecasts are more accurate than the linear AR alternative. However, there is no statistical difference between the forecasts from both models on a one-to-twelve step-ahead basis. en_US
dc.publisher Centre for Labour Market Research en_US
dc.relation.isbasedon en_US
dc.title Forecasting Australian Unemployment Rates en_US
dc.parent Australian Journal of Labour Economics en_US
dc.journal.volume 4 en_US
dc.journal.number 1 en_US
dc.publocation Perth, Australia en_US
dc.identifier.startpage 41 en_US
dc.identifier.endpage 55 en_US Finance and Economics en_US

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