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Asymmetric and time-varying error-correction: an application to labour demand in the UK

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URI: http://hdl.handle.net/10016/3681
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ws933122.pdf (496.68 KB)
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1993-11
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Abstract
In this paper we compare the asymmetric and time-varying error-correction models that have recently been proposed, and apply these to the case of UK aggregate labour demand. The aim of the paper is to investigate the possible co-existence of time-varying adjustment on the one hand, and constant asymmetric error-correction on the other hand. We find that without allowing for time-varying adjustment variables, the asymmetric error-correction models of Granger and Lee (1989) and Escribano (1986) work well. But once the time-varying adjustment variables are included, the evidence for time-invariant asymmetric adjustment is marginal.
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Nonlinear dynamics, Nonlinear error correction, Dynamic labour demand
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DES - Working Papers. Statistics and Econometrics. WS
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