IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v24y2020i1p18n4.html
   My bibliography  Save this article

Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks

Author

Listed:
  • Lovcha Yuliya

    () (Universitat Rovira-i-Virgili and CREIP, Av. Universitat 1, 43834Reus, Spain)

  • Perez-Laborda Alejandro

    (Universitat Rovira-i-Virgili and CREIP, Reus, Spain)

Abstract

This paper shows that the trimmed Whittle estimation of the SVAR is superior to filtering (or differencing) undesired, low-frequency fluctuations that may arise in macroeconomic data. Pre-filtering destroys the low-frequency range of the spectrum, thus biasing the estimated parameters and the responses of the variables to shocks. The proposed method, by contrast, accounts for the undesired fluctuations while overcoming these drawbacks. Furthermore, the method remains reliable even when the observed low-frequency variability has been incorrectly considered as external to the SVAR. An empirical application that examines the effect of technology shocks on hours worked is provided to illustrate the results. We find the response of hours positive and similar using both long and short-run identification restrictions, thus providing a solution to a wide debate in the business cycle literature.

Suggested Citation

  • Lovcha Yuliya & Perez-Laborda Alejandro, 2020. "Trimmed Whittle estimation of the SVAR vs. filtering low-frequency fluctuations: applications to technology shocks," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-18, February.
  • Handle: RePEc:bpj:sndecm:v:24:y:2020:i:1:p:18:n:4
    as

    Download full text from publisher

    File URL: https://www.degruyter.com/view/j/snde.2019.24.issue-1/snde-2018-0030/snde-2018-0030.xml?format=INT
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

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

    More about this item

    Keywords

    band-pass; business cycle; frequency domain; Hodrick-Prescott; hours-worked; impulse response;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    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:bpj:sndecm:v:24:y:2020:i:1:p:18:n:4. 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: (Peter Golla). General contact details of provider: https://www.degruyter.com .

    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.