Hours per capita and productivity: evidence from correlated unobserved components models
使用相关不可观测成分模型，发现生产率永久冲击与工时暂时冲击负相关，且数据不支持对模型施加VAR类约束。
Abstract Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated unobserved components (UC) framework. The estimates show that permanent shocks to productivity are negatively correlated with transitory shocks to hours. This result is robust for non‐stationary or levels stationary specifications of hours. Model comparisons indicate that the data do not favor imposing VAR‐type restrictions on the UC models. Copyright © 2008 John Wiley & Sons, Ltd.