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Mean reversion in the US unemployment rate - evidence from bootstrapped out-of-sample forecasts
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2011 (English)In: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 18, no 7, 643-646 p.Article in journal (Refereed) Published
Abstract [en]

This article investigates whether the US unemployment rate is best described as a unit-root or mean-reverting process. An out-of-sample forecast exercise is conducted in which the performance of an autoregressive (AR) model with an imposed unit root is compared with that of a mean-reverting AR model. A bootstrap distribution for the relative root mean square forecast error is generated and provides strong support for mean reversion in the US unemployment rate.

Place, publisher, year, edition, pages
2011. Vol. 18, no 7, 643-646 p.
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URN: urn:nbn:se:uu:diva-154625DOI: 10.1080/13504851003761855ISI: 000290413900008OAI: oai:DiVA.org:uu-154625DiVA: diva2:421277
Available from: 2011-06-08 Created: 2011-06-08 Last updated: 2013-07-22

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Gustavsson, Magnus
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