Aggregation, Unit Roots and The Time Series Structure of Manufacturing Real Wages  

Oleh:

Rossana, Robert J. ; Seater, John J.

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 33 no. 1 (1992), page 159-180.
Topik: aggregation; aggregation; unit roots; time series structure; manufacturing real wages

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The effects of both temporal and cross - sectional aggregation on the estimated time series characteristics of manufacturing real wage data are examined. The effects, especially of temporal aggregation, are found to be quite large and in accord with statistical theory. The well - known results of Altonji and Ashenfelter, that real wages are a random walk, and of Nelson and Plosser, that real wages are an IMA (1, 1) process, both seem to be entirely artifacts of temporal aggregation, with the true models following processes that are much more complex and that display substantial cyclical behaviour.

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