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Understanding the effect of technology shocks in SVARs with long-run restrictions

Jeremy Chaudourne, Patrick Fève and Alain Guay ()

Journal of Economic Dynamics and Control, 2014, vol. 41, issue C, 154-172

Abstract: This paper studies the statistical properties of impulse response functions in structural vector autoregressions (SVARs) with a highly persistent variable as hours worked and long-run identifying restrictions. The highly persistent variable is specified as a nearly stationary persistent process. Such a process appears to be particularly well suited to characterize the dynamics of hours worked because it implies a unit root in a finite sample but is asymptotically stationary and persistent. This is typically the case for per capita hours worked which are included in SVARs. Theoretical results derived from this specification allow us to explain most of the empirical findings from SVARs which include US hours worked.

Keywords: SVARs; Long-run restrictions; Locally nonstationary process; Technology shocks; Hours worked (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions (2012) Downloads
Working Paper: Understanding the Effect of Technology Shocks in SVARs with Long-Run Restrictions (2012) Downloads
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