Aggregation, Unit Roots and the Time Series Structure on Manufacturing Real Wages
AbstractThe effects of both temporal and cross-sectional aggregation on the estimated time-series characteristics of manufacturing real wage data are examined. The effects, especially of temporal aggregation, are found to be quite large and in accord with statistical theory. The well-known results of J. Altonji and O. Ashenfelter (1980), that real wages are a random walk, and of C. R. Nelson and C. I. Plosser (1982), that real wages are an IMA(1, 1) process, both seem to be entirely artifacts of temporal aggregation, with the true models following processes that are much more complex and that display substantial cyclical behavior. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 33 (1992)
Issue (Month): 1 (February)
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