Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure

Elena Pesavento and Barbara Rossi

Econometrics from University Library of Munich, Germany

Abstract: This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to choose between a specification in levels or in first differences. We find that a positive productivity shock has a negative impact effect on hours, as in Francis and Ramey (2001), but the effect is much more short-lived, and disappears after two quarters. The effect becomes positive at business cycle frequencies, as in Christiano et al. (2003), although it is not significant.

Keywords: Technology shocks; persistence; impulse response functions; Real Business Cycle Theory (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2004-11-01
New Economics Papers: this item is included in nep-dge
Note: Type of Document - pdf; pages: 22
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https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0411/0411002.pdf (application/pdf)

Related works:
Journal Article: DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE (2005)
Working Paper: Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0411002

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