IDEAS home Printed from
   My bibliography  Save this article

Shocking Stories


  • Levtchenkova, S
  • Pagan, A R
  • Robertson, J C


The paper provides a survey of methods that decompose multivariate series into permanent and transitory components by using ideas drawn from the co-integration literature. We adopt a two stage procedure to effect the decomposition. In the first stage a basic set of permanent and transitory components is formed by using standard definitions of the shocks which they are constituted from. The resulting measurements are not unique and further information needs to be employed to get uniqueness. Such information can come in many forms but a particularly important one involves the values of the long-run multipliers for permanent shocks that are available from many calibrated models. A comparison of the methods of effecting the decomposition is performed using a well known data set. Copyright 1998 by Blackwell Publishers Ltd

Suggested Citation

  • Levtchenkova, S & Pagan, A R & Robertson, J C, 1998. " Shocking Stories," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 507-532, December.
  • Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:507-32

    Download full text from publisher

    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    1. Terrell, Katherine, 1993. "Public-private wage differentials in Haiti Do public servants earn a rent?," Journal of Development Economics, Elsevier, vol. 42(2), pages 293-314, December.
    2. Richard B. Freeman & Casey Ichniowski, 1988. "When Public Sector Workers Unionize," NBER Books, National Bureau of Economic Research, Inc, number free88-1, January.
    3. Sharmila Choudhury, 1994. "Government wage differentials for women: do city dwellers earn more?," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 35-38.
    4. Jacobsen, Joyce P., 1992. "Spillover effects from government employment," Economics Letters, Elsevier, vol. 39(1), pages 101-104, May.
    5. Heywood, John S & Mohanty, Madhu S, 1995. "Estimation of the US Federal Job Queue in Presence of an Endogenous Union Queue," Economica, London School of Economics and Political Science, vol. 62(248), pages 479-493, November.
    6. Borjas, George J, 1980. "Wage Determination in the Federal Government: The Role of Constituents and Bureaucrats," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1110-1147, December.
    7. Ehrenberg, Ronald G. & Schwarz, Joshua L., 1987. "Public-sector labor markets," Handbook of Labor Economics,in: O. Ashenfelter & R. Layard (ed.), Handbook of Labor Economics, edition 1, volume 2, chapter 22, pages 1219-1260 Elsevier.
    8. Hartog, Joop & Oosterbeek, Hessel, 1993. "Public and private sector wages in the Netherlands," European Economic Review, Elsevier, vol. 37(1), pages 97-114, January.
    9. Belman, Dale & Heywood, John S., 1989. "Establishment size, public administration and government wage differentials," Economics Letters, Elsevier, vol. 29(1), pages 95-98.
    10. Ehrenberg, Ronald G. & Goldstein, Gerald S., 1975. "A model of public sector wage determination," Journal of Urban Economics, Elsevier, vol. 2(3), pages 223-245, July.
    11. Arai, Mahmood, 1994. " An Empirical Analysis of Wage Dispersion and Efficiency Wages," Scandinavian Journal of Economics, Wiley Blackwell, vol. 96(1), pages 31-50.
    12. Holmlund, Bertil, 1993. "Wage setting in private and public sectors in a model with endogenous government behavior," European Journal of Political Economy, Elsevier, vol. 9(2), pages 149-162, May.
    13. Gyourko, Joseph & Tracy, Joseph, 1988. "An Analysis of Public- and Private-Sector Wages Allowing for Endogenous Choices of Both Government and Union Status," Journal of Labor Economics, University of Chicago Press, vol. 6(2), pages 229-253, April.
    14. Hou, Jack W., 1993. "Public-private wage comparison: A case study of Taiwan," Journal of Asian Economics, Elsevier, vol. 4(2), pages 347-362.
    15. Gregory, R G, 1993. "Aspects of Australian and U.S. Living Standards: The Disappointing Decades 1970-1990," The Economic Record, The Economic Society of Australia, vol. 69(204), pages 61-76, March.
    16. Lindauer, David L. & Sabot, Richard H., 1983. "The public/private wage differential in a poor urban economy," Journal of Development Economics, Elsevier, vol. 12(1-2), pages 137-152.
    17. Borland, Jeff & Hirschberg, Joe & Lye, Jenny, 1998. "Earnings of Public Sector and Private Sector Employees in Australia: Is There a Difference?," The Economic Record, The Economic Society of Australia, vol. 74(224), pages 36-53, March.
    18. Niskanen, William A, 1975. "Bureaucrats and Politicians," Journal of Law and Economics, University of Chicago Press, vol. 18(3), pages 617-643, December.
    19. Chris Trinder, 1981. "Pay of Employees in the Public and Private Sector," National Institute Economic Review, National Institute of Economic and Social Research, vol. 97(1), pages 48-56, August.
    20. Ivy E. Broder & Laura Langbein, 1989. "Wage Differentials among Regulated, Private and Government Sectors: A Case Study," Eastern Economic Journal, Eastern Economic Association, vol. 15(3), pages 189-201, Jul-Sep.
    21. Ehrenberg, Ronald G, 1973. "The Demand for State and Local Government Employees," American Economic Review, American Economic Association, vol. 63(3), pages 366-379, June.
    22. Jacobson, Tor & Ohlsson, Henry, 1994. "Long-Run Relations between Private and Public Sector Wages in Sweden," Empirical Economics, Springer, vol. 19(3), pages 343-360.
    23. Pederson, P. J. & Schmidt-Sorensen, J. B. & Smith, N. & Westergard-Nielsen, N., 1990. "Wage differentials between the public and private sectors," Journal of Public Economics, Elsevier, vol. 41(1), pages 125-145, February.
    24. Smith, Sharon P., 1977. "Government wage differentials," Journal of Urban Economics, Elsevier, vol. 4(3), pages 248-271, July.
    25. van der Gaag, Jacques & Vijverberg, Wim, 1988. "A Switching Regression Model for Wage Determinants in the Public and Private Sectors of a Developing Country," The Review of Economics and Statistics, MIT Press, vol. 70(2), pages 244-252, May.
    26. Morton Stelcner & Jacques van der Gaag & Wim Vijverberg, 1989. "A Switching Regression Model of Public-Private Sector Wage Differentials in Peru: 1985-86," Journal of Human Resources, University of Wisconsin Press, vol. 24(3), pages 545-559.
    27. Holmlund, B. & Ohlsson, H., 1990. "Wage Linkages Between Private and Public Sectors," Papers 1990t, Uppsala - Working Paper Series.
    28. Moulton, Brent R, 1990. "A Reexamination of the Federal-Private Wage Differential in the United States," Journal of Labor Economics, University of Chicago Press, vol. 8(2), pages 270-293, April.
    29. Courant, Paul N & Gramlich, Edward M & Rubinfeld, Daniel L, 1979. "Public Employee Market Power and the Level of Government Spending," American Economic Review, American Economic Association, vol. 69(5), pages 806-817, December.
    30. Rees, Hedley & Shah, Anup, 1995. "Public-Private Sector Wage Differential in the U.K," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(1), pages 52-68, March.
    31. Madhu Mohanty, 1997. "Why workers queue for local government jobs: the US evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 1-6.
    32. Ingham, Michael D, 1987. "Local Government Demand for Labour in England and Wales," Scottish Journal of Political Economy, Scottish Economic Society, vol. 34(3), pages 267-284, August.
    33. repec:sae:niesru:v:107:y::i:1:p:63-73 is not listed on IDEAS
    34. Morley Gunderson, 1979. "Earnings Differentials between the Public and Private Sectors," Canadian Journal of Economics, Canadian Economics Association, vol. 12(2), pages 228-242, May.
    35. Richard B. Freeman & Robert Valletta, 1988. "The Effects of Public Sector Labor Laws on Labor Market Institutions and Outcomes," NBER Chapters,in: When Public Sector Workers Unionize, pages 81-106 National Bureau of Economic Research, Inc.
    36. Lee, Lung-Fei, 1978. "Unionism and Wage Rates: A Simultaneous Equations Model with Qualitative and Limited Dependent Variables," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(2), pages 415-433, June.
    37. Moore, William J & Raisian, John, 1987. "Union-N onunion Wage Differentials in the Public Administration, Educational, and Private Sectors: 1970-1983," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 608-616, November.
    38. Goddeeris, John H, 1988. "Compensating Differentials and Self-selection: An Application to Lawyers," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 411-428, April.
    39. N. Foster & S.G.B. Henry & C. Trinder, 1984. "Public and Private Sector Pay: a Partly Disaggregated Study," National Institute Economic Review, National Institute of Economic and Social Research, vol. 107(1), pages 63-73, February.
    40. Elliott, R F & Murphy, P D, 1987. "The Relative Pay of Public and Private Sector Employees, 1970-1984," Cambridge Journal of Economics, Oxford University Press, vol. 11(2), pages 107-132, June.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:507-32. 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: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.