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Hours worked - Productivity puzzle: identification in fractional integration settings
Lovcha, Yuliya; Pérez Laborda, Àlex
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
A recent finding of the structural VAR literature is that the response of hours worked to a technology shock depends on the assumption on the order of integration of the hours. In this work we relax this assumption, allowing for fractional integration and long memory in the process for hours and productivity. We find that the sign and magnitude of the estimated impulse responses of hours to a positive technology shock depend crucially on the assumptions applied to identify them. Responses estimated with short-run identification are positive and statistically significant in all datasets analyzed. Long-run identification results in negative often not statistically significant responses. We check validity of these assumptions with the Sims (1989) procedure, concluding that both types of assumptions are appropriate to recover the impulse responses of hours in a fractionally integrated VAR. However, the application of longrun identification results in a substantial increase of the sampling uncertainty. JEL Classification numbers: C22, E32. Keywords: technology shock, fractional integration, hours worked, structural VAR, identification
331 - Treball. Relacions laborals. Ocupació. Organització del treball
Anàlisi de sèries temporals
Cicles econòmics
Treball -- Innovacions tecnològiques
Jornada de treball
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42 p.
Working Paper
Universitat Rovira i Virgili. Departament d'Economia
Documents de treball del Departament d'Economia;2013-03

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