This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Do Technology Shocks Drive Hours Up or Down?

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Barbara Rossi
Elena Pesavento

Additional information is available for the following registered author(s):

Abstract

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to choose between a specification in levels or in first differences. The method uses alternative approximations based on local-to-unity asymptotic theory and allows the lead-time of the impulse response function to be a fixed fraction of the sample size. These devices provide better approximations in small samples and give confidence bands that have better coverage properties at medium and long horizons than existing methods. We find that a positive productivity shock has a negative effect on hours, as in Francis and Ramey (2001), but the effect is much more short-lived, and disappears after two quarters. The effect becomes positive at business cycle frequencies, as in Christiano et al. (2003)

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://repec.org/esNASM04/up.22408.1074020661.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 96.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:nasm04:96

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Technology shocks; persistence; impulse response functions; Real Business Cycle.;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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.:
  1. Elliott, Graham & Stock, James H., 2001. "Confidence intervals for autoregressive coefficients near one," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 155-181, July. [Downloadable!] (restricted)
    Other versions:
  2. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December. [Downloadable!] (restricted)
  3. Elliott, Graham & Jansson, Michael, 2003. "Testing for unit roots with stationary covariates," Journal of Econometrics, Elsevier, vol. 115(1), pages 75-89, July. [Downloadable!] (restricted)
    Other versions:
  4. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March. [Downloadable!] (restricted)
    Other versions:
  5. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
    Other versions:
  6. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November. [Downloadable!] (restricted)
    Other versions:
  7. Lawrence J. Christiano & Martin Eichenbaum & Robert Vigfusson, 2003. "What Happens After a Technology Shock?," NBER Working Papers 9819, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Graham Elliott & Michael Jansson & Elena Pesavento, 2003. "Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity," Emory Economics 0303, Department of Economics, Emory University (Atlanta). [Downloadable!]
    Other versions:
  9. Rossi, Barbara & Pesavento, Elena, 2003. "Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons," Working Papers 03-19, Duke University, Department of Economics. [Downloadable!]
    Other versions:
  10. Neville Francis & Valerie A. Ramey, 2002. "Is the Technology-Driven Real Business Cycle Hypothesis Dead?," NBER Working Papers 8726, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Ghent, Andra, 2006. "Comparing Models of Macroeconomic Fluctuations: How Big Are the Differences?," MPRA Paper 180, University Library of Munich, Germany. [Downloadable!]
  2. Neville Francis & Michael T. Owyang & Jennifer E. Roush, 2007. "A flexible finite-horizon identification of technology shocks," Working Papers 2005-024, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  3. Fève, Patrick & Guay, Alain, 2006. "Identification of Technology Shocks in Structural VARs," IDEI Working Papers 383, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    Other versions:
  4. Luis Alberiko Gil-Alana & Antonio Moreno, . "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
Statistics
Access and download statistics

Did you know? To receive notification of recent additions to the database, subscribe to the free NEP reports.

This page was last updated on 2009-11-6.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.