Advanced Search
MyIDEAS: Login to save this paper or follow this series

Hours worked - Productivity puzzle: identification in fractional integration settings

Contents:

Author Info

  • Lovcha, Yuliya
  • Pérez Laborda, Àlex

Abstract

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

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/2072/211796
Download Restriction: no

Bibliographic Info

Paper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/211796.

as in new window
Length:
Date of creation: 2013
Date of revision:
Handle: RePEc:urv:wpaper:2072/211796

Contact details of provider:
Postal: Avda. de la Universitat,1 - 43204 Reus (Tarragona)
Phone: 977 75 98 00
Fax: 977 75 98 10
Email:
Web page: http://www.urv.cat
More information through EDIRC

Related research

Keywords: Anàlisi de sèries temporals; Cicles econòmics; Treball -- Innovacions tecnològiques; Jornada de treball; 331 - Treball. Relacions laborals. Ocupació. Organització del treball;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  2. Christopher A. Sims, 1989. "Models and their uses," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 11, Federal Reserve Bank of Minneapolis.
  3. V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?," NBER Working Papers 14430, National Bureau of Economic Research, Inc.
  4. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 03/06, School of Economics and Business Administration, University of Navarra.
  5. Jordi Galí & Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations," IMF Working Papers 04/234, International Monetary Fund.
  6. Fabio Canova & David López-Salido & Claudio Michelacci, 2007. "The labor market effects of technology shocks," Banco de Espa�a Working Papers, Banco de Espa�a 0719, Banco de Espa�a.
  7. Christopher J. Erceg & Luca Guerrieri, 2004. "Can Long-Run Restrictions Identify Technology Shocks?," Computing in Economics and Finance 2004, Society for Computational Economics 3, Society for Computational Economics.
  8. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "What happens after a technology shock?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 768, Board of Governors of the Federal Reserve System (U.S.).
  9. Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 73(1), pages 217-236, July.
  10. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2010. "Long-run Identification in a Fractionally Integrated System," University of Regensburg Working Papers in Business, Economics and Management Information Systems 447, University of Regensburg, Department of Economics.
  11. Faust, Jon & Leeper, Eric M, 1997. "When Do Long-Run Identifying Restrictions Give Reliable Results?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 15(3), pages 345-53, July.
  12. Jeremy Berkowitz & Francis X. Diebold, 1998. "Bootstrapping Multivariate Spectra," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 664-666, November.
  13. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006. "Assessing Structural VARs," NBER Working Papers 12353, National Bureau of Economic Research, Inc.
  14. Ray, Bonnie K., 1993. "Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model," International Journal of Forecasting, Elsevier, Elsevier, vol. 9(2), pages 255-269, August.
  15. Jordi Gali & Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBS Model Fit Postwar U.S. Data?," NBER Working Papers 10636, National Bureau of Economic Research, Inc.
  16. Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 227-238, October.
  17. Galí, Jordi & Rabanal, Pau, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Post-War US Data?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4522, C.E.P.R. Discussion Papers.
  18. Harald Uhlig, 2004. "Do Technology Shocks Lead to a Fall in Total Hours Worked?," Journal of the European Economic Association, MIT Press, MIT Press, vol. 2(2-3), pages 361-371, 04/05.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers, Universitat Rovira i Virgili, Department of Economics 2072/211795, Universitat Rovira i Virgili, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:urv:wpaper:2072/211796. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ariadna Casals).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.