Persistência e memória longa sazonal na série de desemprego da região metropolitana de São Paulo

Abstract

This paper deals with the persistence theme in the unemployment rate of São Paulo metropolitan region. SARFIMA fractional integration models were used to evaluate the dynamics of economic shock absorption by the unemployment series. The hysteresis hypothesis in the unemployment rate was evaluated using long-memory models. The results found using the fractional framework were compared with those of the I(0) -I (0) paradigm, and they showed the inability of the traditional SARIMA models to correctly extract the low-frequency behavior of the time series. It was shown that traditional seasonal model leads to an overvaluation of the persistence in the series.