Some Long Run Features of Dynamic Time Series Models

Employment Functions and the Slowdown in Uk Productivity Growth

“…Using the method outlined in Currie (1981), the solution to the equations has two parts; first, a long-run equilibrium solution in which the level of the dependent variable depends upon the levels of the independent variables, and then a dynamic solution in which the level of the dependent variable depends upon the rates of growth of the independent variables. Rewriting the resulting employment equations in terms of labour productivity enables the solutions to where E = employment, Q = output, exp = exponential, g = growth rate of output.…”

TIME SERIES BEHAVIOUR AND DYNAMIC SPECIFICATION*

“…But such a representation is over-specified, containing terms that are not necessary to the explanation, just as multiplying (11) must be zero. Currie (1981) emphasized this interpretation, and it clearly provides a way of forcing dynamic specifications to exhibit first-order trend neutrality. Applied to (13), the mean lag is a1b( 1 -/3), confirming the previous conclusion that zero discounting would generate the desired neutrality.…”

Econometric Modelling: The ‘Consumption Function’ In Retrospect

“…Next, the error correction mechanism (ECM) is consistent with static‐equilibrium homogeneity postulates by construction, although care is required to ensure sensible behaviour in growth scenarios (see inter alia Currie (), Hendry and Von Ungern‐Sternberg (), Salmon (), Kloek (), Patterson and Ryding () and Hendry and Richard ()). Here, ‘equilibrium’ is a contextual concept defined by ‘all change ceasing’, and is not an assertion about behaviour over a long‐run of real time (see Spanos ()).…”