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TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE

Published online by Cambridge University Press:  13 October 2009

Luis Alberiko Gil-Alana  and
Antonio Moreno
Luis Alberiko Gil-Alana
Affiliation:
University of Navarra
Antonio Moreno*
Affiliation:
University of Navarra
*
Address correspondence to: Antonio Moreno, School of Economics, University of Navarra, 31080 Pamplona, Spain; e-mail: antmoreno@unav.es.
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Abstract

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Previous research has found that the dynamic response of hours worked to a technology shock crucially depends on whether the hours variable is assumed to be an I(0) or an I(1) variable ex ante. In this paper we employ a multivariate fractionally integrated model that allows us to simultaneously estimate the order of integration of hours worked and its dynamic response to a technology shock. Our evidence lends support to the hypothesis that hours fall in response to a positive technology shock.

Keywords

Technology ShocksImpulse Response FunctionsHours WorkedFractional IntegrationMultivariate Analysis

Information

Type
Articles
Information
Macroeconomic Dynamics , Volume 13 , Issue 5 , November 2009 , pp. 580 - 604
Copyright
Copyright © Cambridge University Press 2009

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