Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach

Economic crises cause significant shortages in disposable income and a sharp decline in the living conditions, affecting healthcare sector, hitting the profitability and sustainability of companies leading to raises in unemployment. At micro level, these sharp decreases in earnings associated with u...

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Autores principales:	Adriana AnaMaria Davidescu, Simona-Andreea Apostu, Aurel Marin
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	unemployment rate bibliometric analysis ARFIMA SETAR VAR VECM Medicine R
Acceso en línea:	https://doaj.org/article/a88b890a8cce4b1186d4eaab2c680ccb
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spelling	oai:doaj.org-article:a88b890a8cce4b1186d4eaab2c680ccb2021-11-11T16:19:04ZForecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach10.3390/ijerph1821111651660-46011661-7827https://doaj.org/article/a88b890a8cce4b1186d4eaab2c680ccb2021-10-01T00:00:00Zhttps://www.mdpi.com/1660-4601/18/21/11165https://doaj.org/toc/1661-7827https://doaj.org/toc/1660-4601Economic crises cause significant shortages in disposable income and a sharp decline in the living conditions, affecting healthcare sector, hitting the profitability and sustainability of companies leading to raises in unemployment. At micro level, these sharp decreases in earnings associated with unemployment and furthermore with the lack of social protection will impact the quality of life and finally the health of individuals. In time of crisis, it becomes vital to support not only the critical sectors of the economy, the assets, technology, and infrastructure, but to protect jobs and workers. This health crisis has hit hard the jobs dynamics through unemployment and underemployment, the quality of work (through wages, or access to social protection), and through the effects on specific groups, with a higher degree of vulnerability to unfavorable labor market outcomes. In this context, providing forecasts as recent as possible for the unemployment rate, a core indicator of the Romanian labor market that could include the effects of the market shocks it becomes fundamental. Thus, the paper aims to offer valuable forecasts for the Romanian unemployment rate using univariate vs. multivariate time series models for the period 2021–2022, highlighting the main patterns of evolution. Based on the univariate time series models, the paper predict the future values of unemployment rate based on its own past using self-forecasting and implementing ARFIMA and SETAR models using monthly data for the period January 2000–April 2021. From the perspective of multivariate time series models, the paper uses VAR/VECM models, analyzing the temporal interdependencies between variables using quarterly data for the period 2000Q1–2020Q4. The empirical results pointed out that both SETAR and VECM provide very similar results in terms of accuracy replicating very well the pre-pandemic period, 2018Q2–2020Q1, reaching the value of 4.1% at the beginning of 2020, with a decreasing trend reaching the value of 3.9%, respectively, 3.6% at the end of 2022.Adriana AnaMaria DavidescuSimona-Andreea ApostuAurel MarinMDPI AGarticleunemployment ratebibliometric analysisARFIMASETARVARVECMMedicineRENInternational Journal of Environmental Research and Public Health, Vol 18, Iss 11165, p 11165 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	unemployment rate bibliometric analysis ARFIMA SETAR VAR VECM Medicine R
spellingShingle	unemployment rate bibliometric analysis ARFIMA SETAR VAR VECM Medicine R Adriana AnaMaria Davidescu Simona-Andreea Apostu Aurel Marin Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
description	Economic crises cause significant shortages in disposable income and a sharp decline in the living conditions, affecting healthcare sector, hitting the profitability and sustainability of companies leading to raises in unemployment. At micro level, these sharp decreases in earnings associated with unemployment and furthermore with the lack of social protection will impact the quality of life and finally the health of individuals. In time of crisis, it becomes vital to support not only the critical sectors of the economy, the assets, technology, and infrastructure, but to protect jobs and workers. This health crisis has hit hard the jobs dynamics through unemployment and underemployment, the quality of work (through wages, or access to social protection), and through the effects on specific groups, with a higher degree of vulnerability to unfavorable labor market outcomes. In this context, providing forecasts as recent as possible for the unemployment rate, a core indicator of the Romanian labor market that could include the effects of the market shocks it becomes fundamental. Thus, the paper aims to offer valuable forecasts for the Romanian unemployment rate using univariate vs. multivariate time series models for the period 2021–2022, highlighting the main patterns of evolution. Based on the univariate time series models, the paper predict the future values of unemployment rate based on its own past using self-forecasting and implementing ARFIMA and SETAR models using monthly data for the period January 2000–April 2021. From the perspective of multivariate time series models, the paper uses VAR/VECM models, analyzing the temporal interdependencies between variables using quarterly data for the period 2000Q1–2020Q4. The empirical results pointed out that both SETAR and VECM provide very similar results in terms of accuracy replicating very well the pre-pandemic period, 2018Q2–2020Q1, reaching the value of 4.1% at the beginning of 2020, with a decreasing trend reaching the value of 3.9%, respectively, 3.6% at the end of 2022.
format	article
author	Adriana AnaMaria Davidescu Simona-Andreea Apostu Aurel Marin
author_facet	Adriana AnaMaria Davidescu Simona-Andreea Apostu Aurel Marin
author_sort	Adriana AnaMaria Davidescu
title	Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
title_short	Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
title_full	Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
title_fullStr	Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
title_full_unstemmed	Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach
title_sort	forecasting the romanian unemployment rate in time of health crisis—a univariate vs. multivariate time series approach
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/a88b890a8cce4b1186d4eaab2c680ccb
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Forecasting the Romanian Unemployment Rate in Time of Health Crisis—A Univariate vs. Multivariate Time Series Approach

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