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Title:
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Hours worked - Productivity puzzle: identification in fractional integration settings
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Author:
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Lovcha, Yuliya; Pérez Laborda, Àlex
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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A recent finding of the structural VAR literature is that the response of hours worked
to a technology shock depends on the assumption on the order of integration of the hours. In this
work we relax this assumption, allowing for fractional integration and long memory in the
process for hours and productivity. We find that the sign and magnitude of the estimated
impulse responses of hours to a positive technology shock depend crucially on the assumptions
applied to identify them. Responses estimated with short-run identification are positive and
statistically significant in all datasets analyzed. Long-run identification results in negative often
not statistically significant responses. We check validity of these assumptions with the Sims
(1989) procedure, concluding that both types of assumptions are appropriate to recover the
impulse responses of hours in a fractionally integrated VAR. However, the application of longrun
identification results in a substantial increase of the sampling uncertainty.
JEL Classification numbers: C22, E32.
Keywords: technology shock, fractional integration, hours worked, structural VAR,
identification |
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Publication date:
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2013 |
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Subject (UDC):
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331 - Treball. Relacions laborals. Ocupació. Organització del treball |
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Subject(s):
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Anàlisi de sèries temporals
Cicles econòmics
Treball -- Innovacions tecnològiques
Jornada de treball |
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Rights:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
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Pages:
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42 p. |
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Document type:
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Working Paper |
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Published by:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2013-03
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