Sensitivity of Impulse Responses to Small Low-Frequency Comovements: Reconciling the Evidence on the Effects of Technology Shocks
发现，关于技术冲击对劳动时间影响的争论源于水平值和差分向量自回归模型对劳动时间与生产率增长之间微小低频共同运动的不同处理，这种共同运动导致长期约束识别的结构系数出现不连续性。
This article clarifies the empirical source of the debate on the effect of technology shocks on hours worked. We find that the contrasting conclusions from levels and differenced vector autoregression specifications, documented in the literature, can be explained by a small low-frequency comovement between hours worked and productivity growth that gives rise to a discontinuity in the solution for the structural coefficients identified by long-run restrictions. Whereas the low-frequency comovement is allowed for in the levels specification, it is implicitly set to 0 in the differenced vector autoregression. Consequently, even when the root of hours is very close to 1 and the low-frequency comovement is quite small, removing it can give rise to biases of sufficient size to account for the empirical difference between the two specifications.