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Hours per capita and productivity: evidence from correlated unobserved components models
Author(s) -
Basistha Arabinda
Publication year - 2008
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1013
Subject(s) - productivity , economics , per capita , econometrics , context (archaeology) , shock (circulatory) , macroeconomics , geography , demography , medicine , population , archaeology , sociology
Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated unobserved components (UC) framework. The estimates show that permanent shocks to productivity are negatively correlated with transitory shocks to hours. This result is robust for non‐stationary or levels stationary specifications of hours. Model comparisons indicate that the data do not favor imposing VAR‐type restrictions on the UC models. Copyright © 2008 John Wiley & Sons, Ltd.