Author:
Gil-Alana Luis Alberiko,Moreno Antonio
Abstract
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 anI(0) or anI(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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics
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