scholarly journals Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?

2015 ◽  
Vol 61 (3) ◽  
pp. 3-21 ◽  
Author(s):  
Mihaela Simionescu
Keyword(s):  
Kalman Filter ◽  
Unemployment Rate ◽  
Quantitative Methods ◽  
Inflation Rate ◽  
Economic Problem ◽  
Stochastic Simulations ◽  
Var Model ◽  
Var Models ◽  
Causality Test ◽  
Dynamic Stochastic

Abstract This paper brings to light an economic problem that frequently appears in practice: For the same variable, more alternative forecasts are proposed, yet the decision-making process requires the use of a single prediction. Therefore, a forecast assessment is necessary to select the best prediction. The aim of this research is to propose some strategies for improving the unemployment rate forecast in Romania by conducting a comparative accuracy analysis of unemployment rate forecasts based on two quantitative methods: Kalman filter and vector-auto-regressive (VAR) models. The first method considers the evolution of unemployment components, while the VAR model takes into account the interdependencies between the unemployment rate and the inflation rate. According to the Granger causality test, the inflation rate in the first difference is a cause of the unemployment rate in the first difference, these data sets being stationary. For the unemployment rate forecasts for 2010-2012 in Romania, the VAR models (in all variants of VAR simulations) determined more accurate predictions than Kalman filter based on two state space models for all accuracy measures. According to mean absolute scaled error, the dynamic-stochastic simulations used in predicting unemployment based on the VAR model are the most accurate. Another strategy for improving the initial forecasts based on the Kalman filter used the adjusted unemployment data transformed by the application of the Hodrick-Prescott filter. However, the use of VAR models rather than different variants of the Kalman filter methods remains the best strategy in improving the quality of the unemployment rate forecast in Romania. The explanation of these results is related to the fact that the interaction of unemployment with inflation provides useful information for predictions of the evolution of unemployment related to its components (i.e., natural unemployment and cyclical component).

scholarly journals Economic Growth and Unemployment Nexus in USA

2019 ◽  
Vol 8 (4) ◽  
pp. 1317-1325
Keyword(s):  
Growth Rate ◽  
Error Correction ◽  
Unemployment Rate ◽  
High Speed ◽  
Empirical Relationship ◽  
Var Model ◽  
Output Gap ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error

Empirical relationship between unemployment and growth is not pronounced as we investigate the economic scenario of the nations. Author attempted to relate US unemployment rate to the growth during 1948-2016 by using bivariate and log regression models, Bai-Perron Model, Granger Causality test, Johansen cointegration test, vector auto regression and vector error correction models. Even, author also verified relationship between unemployment gap, output gap and growth in USA during the same period. Data on US unemployment rate, GDP and growth rate have been taken from Bureau of US census during 1948-2016. Data on US natural rate of unemployment was taken from Fed Bank of St.Louis from 1949 to 2016.The paper concludes that US unemployment rate is increasing at the rate of 0.507 per cent per annum and it has upward structural break in 1971.The nexus follows the Okun’s law in USA. US unemployment is negatively related with growth rate during 1948-2016.Their relationships are causal and cointegrated. VAR model is stable and stationary. Residual test showed non-normality and autocorrelations.Moreover, author showed negative relation between growth and unemployment gap in USA during 1949-2016.They have no causality and cointegration. Their VAR model is stable and stationary. The residual test proved non-normality and auto-correlation problems. Perceptible output gap influences unemployment gap negatively during 1949-2016 .It has significant bi-directional causality and one cointegrating equation. In Vector error correction model, error corrections are significant with high speed having stability, autocorrelation and non-normality. The rate of decline in unemployment rate due to increased growth rate in USA during 1948-2016 was marginal.

scholarly journals Unrestricted Vector Autoregressive Modelling of the Interaction among Oil Price, Exchange Rate and Inflation in Nigeria (1981–2017)

2019 ◽  
pp. 1-19
Author(s):  
G. L. Tuaneh ◽  
L. Wiri
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Impulse Response ◽  
Inflation Rate ◽  
National Income ◽  
Oil Price ◽  
Var Model ◽  
Annual Data ◽  
Causality Test ◽  
The Government

The interdependence among oil prices, exchange rates and inflation rates, and their response to shocks, was a cause of concern. Unrestricted Vector Autoregression (UVAR) was employed to analyse this interactions as well as to investigate the pattern of causality among the study variable. Annual data spanning from 1981 to 2017 was sourced from the Statistical Bulletin of the Central Bank of Nigeria. Pre-estimation analysis showed that all variables were integrated of order one 1(1), and there no cointegrating relationship. The inverse root of AR characteristic polynomial showed a stable VAR model. All lag length selection criteria chose a lag length of 1. The UVAR estimates and the test of significance particularly the granger causality test indicated significant influence and uni-directional effect from oil price to exchange rates. The Wald statistics, showed significant own shocks, and the impulse response showed that all variables were instantaneously affected by own shocks. Exchange rate was instantaneously affected by oil price; however, it ruled out the response in inflation rate to contemporaneous shocks in oil price. The variance decomposition further showed that at least 93.1%, 97.1% and 92.4% of the impulse response in oil price, exchange rate, and inflation rate respectively were from own shocks in the long run. The post estimation analysis showed that the VAR model was multivariate normal, the residual was homoscedastic, and there was no serial autocorrelation. It was recommended that the government should diversify the national income stream and consider policies that will control inflation.

scholarly journals THE RELATIONSHIP BETWEEN INFLATION RATE AND UNEMPLOYMENT RATE IN INDONESIA, 1985-2008

2012 ◽  
Vol 1 (2) ◽  
pp. 95
Author(s):  
Selli Nelonda
Keyword(s):  
Unemployment Rate ◽  
Negative Correlation ◽  
Inflation Rate ◽  
Granger Causality Test ◽  
Causality Test ◽  
Unemployment Rates ◽  
Total Labor Force ◽  
Wage Inflation ◽  
Total Labor ◽  
The Relationship

This paper aims to investigate the relationship between inflation rate and unemployment. Tradeoff between inflation and unemployment rate showed a negative correlation between unemployment and wage inflation. Using the OLS method (1985-2008), the estimates indicate that the rate of inflation does not significantly influence the level of unemployment. It can be seen from a positive inflation coefficient value and not significant. Total labor force significantly affect unemployment rates. The unemployment rate last year significant effect on the unemployment rate today. Granger causality test shows that there is no causal relationship between unemployment and inflation.

scholarly journals Causal Linkage between Inflation and Unemployment: An evidence from the Selected MENA Countries

2018 ◽  
Vol 6 (1) ◽  
pp. 121-131
Author(s):  
Tarek Kacemi ◽  
Sallahuddin Hassan
Keyword(s):  
Granger Causality ◽  
Unemployment Rate ◽  
Inflation Rate ◽  
Phillips Curve ◽  
Granger Causality Test ◽  
Two Dimensions ◽  
Causal Association ◽  
Causality Test ◽  
Mena Countries ◽  
Panel Granger Causality

The current study measures the causal association between inflation and unemployment employing Phillips Curve approach from 1990 until 2016 for selected MENA countries. Granger causality and the heterogeneous causality methods for Panel are employed by this study as proposed by Dumitrescu and Hurlin. This causality test has an advantage over the panel Granger causality as it considers two dimensions of heterogeneity. The finding revealed a unidirectional causality between unemployment and inflation with Panel Dumitrescu and Hurlin Granger causality but not in the panel Granger causality test. Therefore, the governments should choose to stabilize inflation rate or reduce unemployment rate.

scholarly journals KAJIAN ANOMALI PEREKONOMIAN MAKRO KOTA MAGELANG

2020 ◽  
Vol 5 (2) ◽  
pp. 148-153
Author(s):  
Nur Maizunati ◽  
Keyword(s):  
Granger Causality ◽  
Unemployment Rate ◽  
Inflation Rate ◽  
Negative Relationship ◽  
Var Model ◽  
Vector Autoregressive ◽  
Economic Theories ◽  
Relationship Of ◽  
The Relationship

The economic dynamics in Magelang City, although quite impressive in the last five years, but have had anomalies in several years. The interrelated achievement of several macro indicators does not show synergy with various existing economic theories. This study examines the economic anomaly that occurred in Magelang City through the analysis of the relationship of several macro indicators with OLS regression and the Vector Autoregressive (VAR) model. The research results show that there is a negative relationship between the inflation variable and the unemployment rate on GDP. It was also found that GDP had significant granger causality over unemployment rate. Unemployment rate showed a negative response since the first period due to changes in the inflation rate. But in the 5th to the 10th years its fluctuations began to shrink. Meanwhile the GDP responded negatively to the dynamics of inflation with fluctuations that widened throughout the year. The determination of the cut-off point for inflation figures needs to be carefully formulated so that all related indicators can move dynamically but harmoniously.

scholarly journals Terrorism and Macroeconomy: A Review of The Eurasian Economies

2017 ◽  
Author(s):  
Özge Korkmaz
Keyword(s):  
Unemployment Rate ◽  
Inflation Rate ◽  
Causal Link ◽  
Cointegration Analysis ◽  
Causality Test ◽  
Per Capita Gdp ◽  
Export Rate ◽  
Per Capita ◽  
The Relationship

The relationship between terrorist incidents, inflation rate, unemployment rate, per capita GDP, export rate and import rate for Eurasian countries Ukraine, Moldova, Georgia, Kyrgyzstan, Kazakhstan, Tajikistan, Azerbaijan, Armenia and Belarus for the period 1994-2015. For this purpose, the Westerlund cointegration analysis and have been using the causality test introduced by Holtz-Eakin, Newey and Rosen. As a result of the analyzes, it is observed that there is a long-term relationship between the export rate and the terrorist incidents and the export rate is the reason for the terrorist incidents. At the same time, it has been found that there is no long-term interaction and causal link between all other variables and terrorist incidents considered in the study.

scholarly journals Modelling Technological Progress Evaluation: Case of Lithuanian Manufacturing Industry

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Mantas Markauskas ◽  
Asta Baliute
Keyword(s):  
Granger Causality ◽  
Technological Progress ◽  
Manufacturing Industry ◽  
Spillover Effect ◽  
Granger Causality Test ◽  
Var Model ◽  
Var Models ◽  
Causality Test ◽  
Technological Spillover ◽  
Error Terms

The goal for this research is to build a framework for analysis of technological spillover effect between sectors in Lithuanian manufacturing industry and assess whether predictors of the created model closely follow dynamic fluctuations of technological progress assessed values. Analysis of academic literature suggested using Granger causality test and vector autoregression (VAR) model to analyze intersectoral technological progress spillover effect in any manufacturing industry. Granger causality test can suggest a potential relationship between technological progress values of particular sectors in manufacturing industry while VAR model can define the exact form and extent of spillover effect. VAR models identify presence of intersectoral technological spillover effect in case of 15 out of 18 sectors in Lithuanian manufacturing industry. In case of a few sectors error terms of VAR models are not stationary suggesting that additional exogenous variables need to be included to increase accuracy of estimated coefficients before these models can be used in further analysis. After minor changes presented VAR models can be used for sensitivity analysis analyzing how changes in different sectoral level parameters affect economic development of manufacturing industry as a whole.

scholarly journals The impact of economic factors on the relationships between psychological contract breach and work outcomes: a meta-analysis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Thushel Jayaweera ◽  
Matthijs Bal ◽  
Katharina Chudzikowski ◽  
Simon de Jong
Keyword(s):  
Job Performance ◽  
Unemployment Rate ◽  
Psychological Contract ◽  
Inflation Rate ◽  
Meta Analysis ◽  
Psychological Contract Breach ◽  
Contract Breach ◽  
Content Type ◽  
Outcome Relationship ◽  
The Impact

PurposeThe purpose of this paper is to explore the macroeconomic factors that may moderate the psychological contract breach (PCB) and work outcome relationship.Design/methodology/approachThis study conducted a meta-analysis based on data from 134 studies.FindingsThe study revealed that the inflation rate and the unemployment rate of a country moderated the association among employee PCB, job performance and turnover.Research limitations/implicationsThe availability of more detailed macroeconomic data against the PCB and outcome relationship for other countries and studies examining the impact of micro-economic data for PCB and outcome relationship would provide a better understanding of the context.Practical implicationsThe authors believe that the results highlight the importance of the national economy since it impacts individual outcomes following a breach.Social implicationsEmployment policies to capture the impact of macroeconomic circumstances as discussed.Originality/valueOne of the valuable contributions made by this paper is that the authors capture the current accumulative knowledge regarding the breach and performance and breach and turnover relationship. Second, the study examines how the inflation rate and unemployment rate could moderate the association between PCB and job performance and turnover.

scholarly journals Unemployment and COVID-19 Impact in Greece: A Vector Autoregression (VAR) Data Analysis

2021 ◽  
Vol 5 (1) ◽  
pp. 41
Author(s):  
Christos Katris
Keyword(s):  
Data Analysis ◽  
Response Function ◽  
Unemployment Rate ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Youth Unemployment ◽  
The Other ◽  
Var Model ◽  
Unemployment Rates ◽  
The Impact

In this paper, the scope is to study whether and how the COVID-19 situation affected the unemployment rate in Greece. To achieve this, a vector autoregression (VAR) model is employed and data analysis is carried out. Another interesting question is whether the situation affected more heavily female and the youth unemployment (under 25 years old) compared to the overall unemployment. To predict the future impact of COVID-19 on these variables, we used the Impulse Response function. Furthermore, there is taking place a comparison of the impact of the pandemic with the other European countries for overall, female, and youth unemployment rates. Finally, the forecasting ability of such a model is compared with ARIMA and ANN univariate models.

A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?

2021 ◽  
Vol 3 (2) ◽  
pp. 80-92
Author(s):  
Sara Muhammadullah ◽  
Amena Urooj ◽  
Faridoon Khan
Keyword(s):  
Interest Rate ◽  
Unemployment Rate ◽  
Unit Root ◽  
Structural Breaks ◽  
Inflation Rate ◽  
Structural Break ◽  
Unit Root Test ◽  
Unit Root Tests ◽  
Gdp Growth ◽  
Macroeconomic Indicators

The study investigates the query of structural break or unit root considering four macroeconomic indicators; unemployment rate, interest rate, GDP growth, and inflation rate of Pakistan. The previous studies create ambiguity regarding the stationarity and non-stationarity of these variables. We employ Zivot & Andrews (1992) unit root test and Step Indicator Saturation (SIS) method for multiple break detection in mean. GDP growth and inflation rate are stationary at level whereas unit root tests fail to reject the null hypothesis of the unemployment rate and interest rate at level. However, Zivot and Andrew unit root test with a single endogenous break indicates that the unemployment rate and interest rate are stationary at level with a single endogenous break. On the other hand, the SIS method reveals that the series are stationary with multiple structural breaks. It is inferred that it is inappropriate to take the first difference of the unemployment rate and interest rate to attain stationarity. The results of this study confirmed that there exist multiple breaks in the macroeconomic variables considered in the context of Pakistan.

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