Asymmetric and time-varying error-correction: an application to labour demand in the UK

Simon M. Burgess and Gerard Pfann
Authors registered in the RePEc Author Service: Alvaro Escribano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we compare the asymmetric and time-varying error-correction models that have recently been proposed, and apply these to the case of UK aggregate labour demand. The aim of the paper is to investigate the possible co-existence of time-varying adjustment on the one hand, and constant asymmetric error-correction on the other hand. We find that without allowing for time-varying adjustment variables, the asymmetric error-correction models of Granger and Lee (1989) and Escribano (1986) work well. But once the time-varying adjustment variables are included, the evidence for time-invariant asymmetric adjustment is marginal.

Keywords: Nonlinear; dynamics; Nonlinear; error; correction; Dynamic; labour; demand (search for similar items in EconPapers)
Date: 1993-11
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3681

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