Hours worked - Productivity puzzle: identification in fractional integration settings
AbstractA 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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Bibliographic InfoPaper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 2072/211796.
Date of creation: 2013
Date of revision:
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:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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