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http://bura.brunel.ac.uk/handle/2438/7081
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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2013-01-07T10:54:43Z | - |
dc.date.available | 2013-01-07T10:54:43Z | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | Economics and Finance Working Paper, Brunel University, 12-07, Mar 2012 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/7081 | - |
dc.description.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. | en_US |
dc.description.sponsorship | This study is partly funded by the the Ministry of Education of Spain (ECO2011-2014 ECON Y FINANZAS, Spain) and from a Jeronimo de Ayanz project of the Government of Navarra. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Brunel University | en_US |
dc.subject | Hours worked | en_US |
dc.subject | Fractional integration | en_US |
dc.subject | Cycles | en_US |
dc.subject | Technology shocks | en_US |
dc.title | Persistence and cycles in US hours worked | en_US |
dc.type | Article | en_US |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Active Staff | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences | - |
pubs.organisational-data | /Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance | - |
Appears in Collections: | Economics and Finance Publications Dept of Economics and Finance Research Papers |
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