THE ECONOMETRICS OF MACROECONOMIC MODELLING
Productivity at
Productivity growth Д^ is basically modelled as a moving average with declining weights
Дat = 0.73 — 0.76Д^_ 1 — 0.79Д^_ 2 — 0.48Да^ 3 (0.15) (0.05) (0.05) (0.10)
— 0.18ecmat — 0.06Adumt + 0.08Seasonalt_ 3 (9.10)
(0.04) (0.02) (0.01)
T = 1972(4)-2001(1) = 114
a = 1.52%
Far(i-S)(5, 102) = 0.17[0.97]
X2normality(2) = 1.23[0.54]
FHETx2 (10,96) = 0.74[0.69].
(Reference: see Table 9.2. The numbers in [..] are p-values.)
In the longer run the development is influenced by the real wage, by unemployment and by technical progress—proxied by a linear trend—as expressed by the equilibrium correction mechanism
ecmat = at-4 — 0.3(u> — p)t-i — 0.06wt-3 — .002Trend t.
The dummy Adumt = [i86q2]t picks up the effect of a lock-out in 1986(2) and helps whiten the residuals.
