IDEAS home Printed from
   My bibliography  Save this article

The Hours Worked–Productivity Puzzle: Identification In A Fractional Integration Setting


  • Lovcha, Yuliya
  • Perez-Laborda, Alejandro


A recent finding of the SVAR literature is that the response of hours worked to a (positive) technology shock depends on the assumed order of integration of the hours. In this work we relax this assumption, allowing fractional integration in hours and productivity. We find that the sign and magnitude of the estimated responses depend crucially on the identification assumptions employed. Although the responses of hours recovered with short-run (SR) restrictions are positive in all data sets, long-run (LR) identification results in negative, although sometimes not significant responses. We check the validity of these assumptions with the Sims procedure, concluding that both LR and SR are appropriate to recover responses in a fractionally integrated VAR. However, the application of the LR scheme always results in an increase in sampling uncertainty. Results also show that even the negative responses found in the data could still be compatible with real business cycle models.

Suggested Citation

  • Lovcha, Yuliya & Perez-Laborda, Alejandro, 2015. "The Hours Worked–Productivity Puzzle: Identification In A Fractional Integration Setting," Macroeconomic Dynamics, Cambridge University Press, vol. 19(7), pages 1593-1621, October.
  • Handle: RePEc:cup:macdyn:v:19:y:2015:i:07:p:1593-1621_00

    Download full text from publisher

    File URL:
    File Function: link to article abstract page
    Download Restriction: no


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

    Cited by:

    1. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    2. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "The Variance-Frequency Decomposition as an Instrument for VAR Identification: an Application to Technology Shocks," Working Papers 2072/261537, Universitat Rovira i Virgili, Department of Economics.

    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:cup:macdyn:v:19:y:2015:i:07:p:1593-1621_00. 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: (Keith Waters). 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.