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Temporal Spillover and Autocorrelation in Some Aggregate Models of Wage-Determination

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  • J.C.R. Rowley

    (Queen's University)

  • D.A. Wilton

    (Queen's University)

Abstract

In a recent paper, we discussed the possible availability of prior information with respect to the source of the moving-average components of mixed moving-average autoregressive processes in the context of empirical investigations of wage-determination. The earlier discussion of this generalization of the Yule-Slutsky effect ignores the possible presence of lagged endogenous variables, which may be due to explicit temporal spillovers between different wage-bargains in the labour market. This omission is remedied in this paper, and several final equations for models with temporal spillovers are given below. These can be contrasted with the final equation for a simple model in which the spillover feedback is restricted to autoregressive processes for the stochastic errors of theoretical relations. Also, in this paper the different specifications can be associated with a collection of linear hypotheses for which conventional least-squares statistics provide suitable test statistics if samples of data are sufficiently large. Knowledge of the weights for the moving-average components is an essential framework for the procedures which are outlined.

Suggested Citation

  • J.C.R. Rowley & D.A. Wilton, 1972. "Temporal Spillover and Autocorrelation in Some Aggregate Models of Wage-Determination," Working Paper 82, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:82
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_82.pdf
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    References listed on IDEAS

    as
    1. Gupta, Kanhaya L, 1971. "Aggregation Bias in Linear Economic Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 293-305, June.
    2. repec:qed:wpaper:37 is not listed on IDEAS
    3. J.C.R. Rowley & D.A. Wilton, 1972. "Known Moving-Average Transformations and Autoregressive Processes," Working Paper 70, Economics Department, Queen's University.
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