A new fractional integration approach based on neural network nonlinearity with an application to testing unemployment hysteresis

• Main Authors: Furuoka, Fumitaka, Gil-Alana, Luis A., Yaya, OlaOluwa S., Aruchunan, Elayaraja, Ogbonna, Ahamuefula E.
• Format: Article
• Published: Springer 2024
• Subjects: HD Industries. Land use. Labor
• Online Access: http://eprints.um.edu.my/45825/; https://doi.org/10.1007/s00181-023-02540-5

This paper proposes a nonlinear fractional unit root approach which is known as the autoregressive neural network-fractional integration (ARNN-FI) test. This new fractional integration test is based on a new multilayer perceptron of a neural network process, proposed in Yaya et al. (Oxf Bull Econ St...