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Infrequent Shocks in the US Nominal Wage Series

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  • BIANCHI, Marco

Abstract

In Bianchi (1993), we suggested an algorithm for estimating in time series the number and the location of change points, or trend-breaks, caused by infrequent permanent shocks. In this paper, the performance of the algorithm is evaluated upon the series of U.S. nominal wages over the period 1900-1970. The aim of the analysis is to reconsider empirical evidence suggested for this series by unit root models, from the new perspective of infrequent permanent shocks, or segmented trend representations. By comparing the results with those derived so far in the literature, some significative improvements are obtained both from the point of view of the statistical modelisation and the economic interpretation of the data.

Suggested Citation

  • BIANCHI, Marco, 1993. "Infrequent Shocks in the US Nominal Wage Series," LIDAM Discussion Papers CORE 1993051, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1993051
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1993.html
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