Technology Shocks and Hours Worked: A Fractional Integration Perspective

Previous research has found that the response of hours worked to a technology shock crucially depends on whether the variable hours is assumed to be an I(0) or an I(1) variable ex-ante. In this paper we employ a multivariate fractionally integrated model which allows us to determine simultaneously the order of integration of hours worked and the response of hours to a technology shock. We find that hours fall on impact in response to a positive technology shock.

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Authors:	Gil-Alana, Luis Alberiko ; Moreno, Antonio
Institutions:	School of Economics and Business Administration, University of Navarra

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Extent:	application/pdf
Series:	Faculty Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Macroeconomic Dynamics 13 (5), 580-604 (2009) Number 03/06
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005568759