Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity

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dc.contributor.author NETŠUNAJEV, Aleksei
dc.date.accessioned 2012-04-02T09:01:34Z
dc.date.available 2012-04-02T09:01:34Z
dc.date.issued 2012
dc.identifier.issn 1725-6704
dc.identifier.uri http://hdl.handle.net/1814/21475
dc.description The author of this EUI Working Paper was awarded the 2012 scientific prize in memory of Urmas Sepp of the Bank of Estonia.
dc.description.abstract The paper reconsiders the conflicting results in the debate connected to the effects of technology shocks on hours worked in the bivariate system. Given major dissatisfaction with the just-identifying long-run restrictions, I analyze whether the restrictions used in the literature are consistent with the data. Modeling volatility of shocks using Markov switching structure allows to obtain additional identifying information and perform tests of the restrictions that were just-identifying in classical structural vector autoregression analysis. Using four datasets where hours worked are modeled differently, I find that the standard restriction, identifying the technology shocks as the only sources of variation in labor productivity, has major support by the data. Taking into account important low frequency movements in the hours worked series yields a result consistent with the recent findings: hours decline in response to a positive technology shock. I also show that the use of a standard Hodrick-Prescott filter may be problematic in the context. en
dc.language.iso en en
dc.relation.ispartofseries EUI ECO en
dc.relation.ispartofseries 2012/13 en
dc.subject Technology shocks en
dc.subject Markov switching model en
dc.subject heteroskedasticity en
dc.subject C32 en
dc.title Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity en
dc.type Working Paper en
dc.neeo.contributor NETŠUNAJEV|Aleksei|aut|


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