A Cautionary Note on the Order of Integration of Post‐war Aggregate Wage, Price and Productivity Measures

Robert Sollis and Mark Wohar

Manchester School, 2004, vol. 72, issue 2, 261-282

Abstract: We investigate the order of integration of aggregate wage, price and productivity measures for the USA. Our investigation differs from previous studies as we employ recently developed tests that allow, under the alternative hypothesis, for structural change between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). The tests reveal that some of the time series examined are neither exclusively I(0) or I(1) and that in fact breaks in the order of integration have occurred, suggesting the need for caution when undertaking Granger‐causality tests involving these variables.

Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9957.2004.00392.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:72:y:2004:i:2:p:261-282

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().