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- Title
Identification of technology shocks using misspecified VARs.
- Authors
Demirel, Ufuk Devrim
- Abstract
Studies that evaluate the effects of technology shocks often employ structural VARs identified with long-run restrictions. In the presence of a mismatch between the lag structures of the true data-generating process and the adopted VAR, estimates based on long-run restrictions can be biased. This paper offers a method that can reduce this bias substantially. Using artificial data, I assess the performance of the proposed method and find that it can outperform a range of alternative procedures. Applying the procedure to the US data, I find that per-capita hours exhibit a positive hump-shaped response profile in response to a technology shock.
- Subjects
VALUE-added resellers; ELECTRONIC data processing; LABOR productivity; MONTE Carlo method; TECHNOLOGY
- Publication
Canadian Journal of Economics, 2015, Vol 48, Issue 4, p1321
- ISSN
0008-4085
- Publication type
Article
- DOI
10.1111/caje.12149