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

Chaudourne, Jeremy, Fève, Patrick and Guay, Alain (2014) Understanding the effect of technology shocks in SVARs with long-run restrictions. Journal of Economic Dynamics and Control, 41. pp. 154-172.

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Official URL: http://tse-fr.eu/pub/27886


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 process appears particularly well suited to characterize the dynamics of hours worked because it implies a unit root in 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 to explain most of the empirical findings from SVARs which include U.S. hours worked.

Item Type: Article
Language: English
Date: April 2014
Refereed: Yes
Uncontrolled Keywords: SVARs, long-run restrictions, locally nonstationary process, technology shocks, hours worked
JEL codes: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 09 Jul 2014 17:41
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:27886
URI: http://publications.ut-capitole.fr/id/eprint/15819

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