Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equation

Harvey, Andrew; Henry, Brian; Peters, Simon; Wren‐Lewis, Simon

doi:10.2307/2233168

Cited by 85 publications

(61 citation statements)

References 11 publications

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“…In the third example, I sample from a stochastic trend. In the final example, I consider one of the estimations in Harvey et al (1986).…”

Section: Examplesmentioning

confidence: 99%

“…Hannesson et al (2010) studied technological change in the Norwegian Lofoten cod fishery with time series on inputs (effort and stock levels) and output (catch). The data contained only aggregated, industry-wide data, and rather than pursuing advanced methods and a more demanding analysis, for example in state space (Harvey et al 1986), they introduced time period dummies and ran ordinary least squares. They had in mind the general index approach of Baltagi and Griffin (1988) and related work, but without panel or crosssectional data.…”

Section: Introductionmentioning

confidence: 99%

“…On a general level, Grilliches (1995) provide an insightful discussion on inter alia separability of production functions, relevance of data and models, and the link between public policy influence on research and development and the importance of economic and empirical understanding. Dorfman and Koop (2005) Harvey et al (1986). An application to panel data is Slade (1989).…”

Section: Introductionmentioning

confidence: 99%

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Indexing of Technical Change in Aggregated Data

Kvamsdal

2017

Comput Econ

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SNF SAMFUNNS-OG NAERINGSLIVSFORSKNING AS-er et selskap i NHH-miljøet med oppgave å initiere, organisere og utføre eksternfinansiert forskning. Norges Handelshøyskole og Stiftelsen SNF er aksjonaerer. Virksomheten drives med basis i egen stab og fagmiljøene ved NHH.SNF er ett av Norges ledende forsk ningsmiljø innen anvendt økonomisk-administrativ forskning, og har gode samarbeidsrelasjoner til andre forskningsmiljøer i Norge og utlandet. SNF utfører forskning og forsknings baserte utredninger for sentrale beslutningstakere i privat og offentlig sektor. Forskningen organiseres i programmer og prosjekter av langsiktig og mer kortsiktig karakter. Alle publikasjoner er offentlig tilgjengelig. SNF CENTRE FOR APPLIED RESEARCH AT NHH-is a company within the NHH group. Its objective is to initiate, organize and conduct externally financed research. The company shareholders are the Norwegian School of Economics (NHH) and the SNF Foundation. Research is carried out by SNF´s own staff as well as faculty members at NHH. SNF is one of Norway´s leading research environment within applied economic administrative research. It has excellent working relations with other research environments in Norway as well as abroad. SNF conducts research and prepares research-based reports for major decision-makers both in the private and the public sector. Research is organized in programmes and projects on a long-term as well as a short-term basis. All our publications are publicly available. Working

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“…In the third example, I sample from a stochastic trend. In the final example, I consider one of the estimations in Harvey et al (1986).…”

Section: Examplesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Indexing of Technical Change in Aggregated Data

Kvamsdal

2017

Comput Econ

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“…In the UC framework, the real exchange rate can be directly related to the permanent and transitory components of the above four fundamentals, such that     Studies which use the UC models to account for omitted variables from the cointegration relationship, include Harvey et al (1986), Sarantis and Stewart (2001) and Berger and Everaet (2010). 9 The long-run relationship between non-cointegrated 8 variables can be estimated consistently with maximum likelihood (ML) using the Kalman filter and the significance of the long-run relationship between noncointegrated variables can be tested using standard Wald or a likelihood ratio (LR)…”

Section: The Modelmentioning

confidence: 99%

Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model

Chen

MacDonald

2015

Journal of International Money and Finance

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R. (2015) 'Measuring the dollar euro permanent equilibrium exchange rate using the unobserved components model.', Journal of international money and nance., 53 . pp. 20-35. Further information on publisher's website:http://dx.doi.org/10.1016/j.jimon n.2014.12.008Publisher's copyright statement: NOTICE: this is the author's version of a work that was accepted for publication in Journal of International Money and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be re ected in this document. Changes may have been made to this work since it was submitted for publication. A de nitive version was subsequently published in Journal of International Money and Finance, 53, May 2015, 10.1016/j.jimon n.2014.12.008. Additional information:Use policyThe full-text may be used and/or reproduced, and given to third parties in any format or medium, without prior permission or charge, for personal research or study, educational, or not-for-pro t purposes provided that:• a full bibliographic reference is made to the original source • a link is made to the metadata record in DRO • the full-text is not changed in any way The full-text must not be sold in any format or medium without the formal permission of the copyright holders.Please consult the full DRO policy for further details.

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“…Some of these studies used macro data (see, e.g. Harvey et al, 1986), other studies are based on micro data (see, e.g. Bentolila and Saint-Paul, 1992) or on micro data extended with a current-output variable that is aggregated towards a narrowly-defined industry leve1 (see, e.g.…”

Section: The Labour-demand Modelmentioning

confidence: 99%

On the endogeneity of output in dynamic labour-demand models

Gorter

Hassink

Nijkamp

et al. 1997

Empirical Economics

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Abstract:This paper investigates the endogeneity of output in the context of the standard dynamic labour-demand model. Using a panel of Dutch firms, we find that the assumption of endogeneity of output cannot be rejected, so that an adjusted procedure has to be followed in which information on the output expectations of entrepreneurs is used. The estimated effect of the endogenous, current output variable on employment appears to be significantly larger than the effect of the exogenous, expected output variable. The adjustment parameter of employment is however, remarkably robust against distinct specifications for output.

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Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Output Equation

Cited by 85 publications

References 11 publications

Indexing of Technical Change in Aggregated Data

Indexing of Technical Change in Aggregated Data

Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model

On the endogeneity of output in dynamic labour-demand models

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