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.

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## THE ECONOMETRICS OF MACROECONOMIC MODELLING

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