Broken trend stationarity of hours worked

Marcos Sanso-Navarro

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Abstract: The estimated impact of a technology shock on hours worked using structural vector autoregressions depends to a great extent on whether or not hours worked is considered to be integrated of first order. It is shown in this paper that the widely analyzed time series of hours worked per capita in the U.S. business sector evolves around a broken linear trend. When this fact is taken into account, the unit root null is rejected by recently proposed tests. Therefore, it can be stated that empirical specifications with hours in first differences are not recommended. It seems more appropriate to control for the presence of this shift in the deterministic component. We also draw this conclusion from a bivariate model for both productivity growth and hours worked. Our results suggest that technology improvements have a negative but non-significant effect on hours only in the very short run. This impact later becomes positive and statistically significant after five periods.

Keywords: Social; Sciences; &; Humanities (search for similar items in EconPapers)
Date: 2011-06-28
Note: View the original document on HAL open archive server: https://hal.science/hal-00712742v1
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Published in Applied Economics, 2011, pp.1. ⟨10.1080/00036846.2011.583225⟩

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Journal Article: Broken trend stationarity of hours worked (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00712742

DOI: 10.1080/00036846.2011.583225

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