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The Response of Hours to a Technology Shock: a Two-Step Structural VAR Approach
Fève, Patrick; Guay, Alain - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
. Unfortunately, the estimated response is generally sensitive to the specification of hours in SVARs. This paper uses a simple two …
Persistent link: https://www.econbiz.de/10005015290
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Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions
Chaudourne, Jeremy; Fève, Patrick; Guay, Alain - Toulouse School of Economics (TSE) - 2012
This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs … typically the case for per capita hours worked which are included in SVARs. Theoretical results derived from this specification … allow to explain most of the empirical findings from SVARs which include U.S. hours worked. Simulation experiments from an …
Persistent link: https://www.econbiz.de/10011004730
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Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions
Chaudourne, Jeremy; Fève, Patrick; Guay, Alain - Institut d'Économie Industrielle (IDEI), Toulouse … - 2012
This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs … typically the case for per capita hours worked which are included in SVARs. Theoretical results derived from this specification … allow to explain most of the empirical findings from SVARs which include U.S. hours worked. Simulation experiments from an …
Persistent link: https://www.econbiz.de/10010852308
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Understanding the effect of technology shocks in SVARs with long-run restrictions
Chaudourne, Jeremy; Fève, Patrick; Guay, Alain - In: Journal of Economic Dynamics and Control 41 (2014) C, pp. 154-172
This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs …. This is typically the case for per capita hours worked which are included in SVARs. Theoretical results derived from this … specification allow us to explain most of the empirical findings from SVARs which include US hours worked. …
Persistent link: https://www.econbiz.de/10010779389
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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10010281793
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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10010287319
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Persistence and Cycles in US Hours Worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 - 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10010535254
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Persistence and Cycles in US Hours Worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10010877961
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Persistence and cycles in US hours worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - In: Economic Modelling 38 (2014) C, pp. 504-511
This paper analyses monthly hours worked in the US over the sample period 1939m1–2011m10 using a cyclical long memory model. This model, which is based on Gegenbauer processes, is characterised by autocorrelations decaying to zero cyclically and hyperbolically, with a spectral density that is...
Persistent link: https://www.econbiz.de/10010753369
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Dynamic identification in VARs
Beaudry, Paul; Collard, Fabrice; Fève, Patrick; Guay, Alain - 2022
Most macroeconomic models, both fully structural models as well as SVAR models, view economic outcomes as the product of a combination of endogenous and exogenous dynamic forces. In particular, the exogenous forces are generally modeled as a set of linearly independent dynamics processes. In...
Persistent link: https://www.econbiz.de/10014551550