Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/7081
Title: Persistence and cycles in US hours worked
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Hours worked;Fractional integration;Cycles;Technology shocks
Issue Date: 2012
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 12-07, Mar 2012
Abstract: This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is unbounded at a non-zero frequency. The reason for choosing this specification is that the periodogram of the hours worked series has a peak at a frequency away from zero. The empirical results confirm that this model works extremely well for hours worked, and it is then employed to analyse their relationship with technology shocks. It is found that hours worked increase on impact in response to a technology shock (though the effect dies away rapidly), consistently with Real Business Cycle (RBC) models.
URI: http://bura.brunel.ac.uk/handle/2438/7081
Appears in Collections:Economics and Finance
Publications
Dept of Economics and Finance Research Papers

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