The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach
The response of hours worked to a technology shock is an important and a controversial issue in macroeconomics. Unfortunately, the estimated response is generally sensitive to the specification of hours in SVARs. This paper uses a simple two-step approach in order to consistently estimate technology shocks from a SVAR model and the response of hours that follow this shock. The first step considers a SVAR model with a set of relevant stationary variables, but excluding hours. Given a consistent estimate of technology shocks in the first step, the response of hours to this shock is estimated in a second step. When applied to US data, the two-step approach predicts a short-run decrease of hours after a technology improvement followed by a hump-shaped positive response. This result is robust to the specification of hours, different sample periods, measures of hours and output and to the variables included in the VAR in the first step.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (514) 987-8161
Web page: http://www.cirpee.org/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ramey, Valerie A & Francis, Neville, 2002.
"Is The Technology-Driven Real Business Cycle Hypothesis Dead? Shocks and Aggregate Fluctuations Revisted,"
University of California at San Diego, Economics Working Paper Series
qt6x80k3nx, Department of Economics, UC San Diego.
- Francis, Neville & Ramey, Valerie A., 2005. "Is the technology-driven real business cycle hypothesis dead? Shocks and aggregate fluctuations revisited," Journal of Monetary Economics, Elsevier, vol. 52(8), pages 1379-1399, November.
- Jordi GalÃ & Pau Rabanal, 2004.
"Technology Shocks and Aggregate Fluctuations; How Well Does the RBC Model Fit Postwar U.S. Data?,"
IMF Working Papers
04/234, International Monetary Fund.
- Galí, Jordi & Rabanal, Pau, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBC Model Fit Post-War US Data?," CEPR Discussion Papers 4522, C.E.P.R. Discussion Papers.
- Jordi Gali & Pau Rabanal, 2004. "Technology Shocks and Aggregate Fluctuations: How Well Does the RBS Model Fit Postwar U.S. Data?," NBER Working Papers 10636, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2006.
"Assessing Structural VARs,"
NBER Working Papers
12353, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies,
Wiley Blackwell, vol. 61(4), pages 631-53, October.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003.
"What happens after a technology shock?,"
International Finance Discussion Papers
768, Board of Governors of the Federal Reserve System (U.S.).
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2005.
"A critique of structural VARs using real business cycle theory,"
631, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2004. "A Critique of Structural VARs Using Real Business Cycle Theory," Levine's Bibliography 122247000000000518, UCLA Department of Economics.
- Gospodinov, Nikolay, 2010. "Inference in Nearly Nonstationary SVAR Models With Long-Run Identifying Restrictions," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 1-12.
When requesting a correction, please mention this item's handle: RePEc:lvl:lacicr:0737. 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: (Johanne Perron)
If references are entirely missing, you can add them using this form.