| 1. |
- Jacobson, Tor, et al.
(författare)
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Are Real Wages and Unemployment Related?
- 1993
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we propose an alternative method for investigating the sources behind the behavior of real wages and unemployment. The statistical model we study is a certain structural error correction model, a so called common trends model, which has become popular in the empirical growth/business cycle literature. The system consists of real output, employment, unemployment and the product real wage and two exogenous stochastic variables, a tax wedge and a currency basket index. Based on quarterly Swedish data (1965-90) we find evidence supporting a short run but not a medium or long run relation.
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| 2. |
- Jacobson, Tor, et al.
(författare)
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Common Trends and Hysteresis in Unemployment
- 1994
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We examine the sources of labor market fluctuations in the Scandinavian countries using VAR models with common trends. Our primary concerns are the sources of hysteresis in unemployment and possible differences between the economies. A simple economic model is presented to motivate our identifying assumptions. We show how estimates of the theoretical parameters may be obtained from the estimated common trends coefficients. The empirical results suggest that (i) the only common source of hysteresis in the Scandinavian labor markets is shocks to wage setting (or, equivalently, equilibrium unemployment); (ii) transitory labor demand shocks, which are emphasized in the theoretical literature on hysteresis, do not seem to be empirically important.
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| 3. |
- Vredin, Anders, et al.
(författare)
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Tests of the Neutrality of Money
- 1994
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- To test structural hypotheses, like monetary neutrality, we need a structural model. In this paper we discuss two recent contributions to the VAR literature on long run neutrality. We argue that Fisher and Seater's (1993) analysis is as vulnerble to the Cooley-LeRoy critique as were the early VAR applications. The analysis in King and Watson (1992) is more careful about the identification problem and not subject to this critique. As an extension to the King-Watson analysis we show how cointegration restrictions can be used to shed additional light on long run neutrality within the context of a common trends model.
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| 4. |
- Bergman, Michael, et al.
(författare)
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Money-Income Causality and the Neutrality of Money
- 1993
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We study two related Granger noncasualty hypotheses. First, money equation innovations cannot predict future income. Second, the coefficients on money in the income equation are zero. Furthermore, we test if income is neutral in the long run with respect to money equation innovations. The first and third hypotheses are addressed in the moving average represenation of a cointegrated vector autoregression. Focusing on monthly U.S. data (1959-89) on income, prices, interest rates, and money we obtain weak evidence against the first hypothesis and mixed evidence about the second. Finally, our results suggest that income is not influence by money innovations in the long run.
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| 5. |
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| 6. |
- Warne, Anders
(författare)
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A Common Trends Model : Identification, Estimation and Inference
- 1993
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Common trends models provide a useful tool for studying growth and business cycle phenomena in a joint framework (see King, Plosser, Stock and Watson (1991)). In this paper we study the problem of how to estimate and analyse a common stochastic trends model for an n dimensional time series which is cointegrated of order (1,1) with r < n cointegration vectors. Identification of k = n - r permanent (trend) and r transitory innovations is discussed in terms of impulse responses and variance decompositions. Finally, we derive analytical expressions of the asymptotic distributions for estimates of these functions, thereby making formal hypothesis testing and inference possible within this framework.
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| 7. |
- Warne, Anders
(författare)
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Inference in Cointegrated VAR Systems
- 1993
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper examines the asymptotic properties of the Wald statistic in vector autoregressions that may have unit roots. Within this framework, we extend the distribution theory of Sims, Stock and Watson (1990) to nonlinear restrictions. It is shown that the limiting distribution of the Wald statistic is nonstandard when the restrictions concern the constant term or constrain the cointegration or common trends spaces. To exemplify the procedure, we study constraints derived from linear(ized) rational expectations models, i.e. nonlinear cross equation restrictions. A Monte Carlo study is performed and we find that the test statistic is somewhat oversized in small samples.
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| 8. |
- Warne, Anders
(författare)
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Vector autoregressions and common trends in macro and financial economics
- 1990
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Vector autoregressions are popular data generating models in applied econometrics. They are frequently used to examine forecasts, to study the sources and the characteristics of economic fluctuations, and to test hypotheses which involve rational expectations. This dissertation studies vector auoregressions subject to cointegration or steady state restrictions. A theory is developed to analyze, e.g., how important growth innovations are at the business cycle horizon. The question whether possible nonstationarity (cointegration) needs to be accounted for prior to conducting inference from tests of economic theory constraints is also addressed. A simple likelihood ratio test is proposed to examine cointegration and cross equation restrictions jointly. The major theoretical results are examplified by data analysis of simple growth and term structure models.
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