Massimiliano Marcellino and Grayham E. Mizon, "Small System Modelling of
Wages, Inflation, Unemployment and Output per Capita in Italy
1970-1994", Journal of Applied Econometrics, Vol. 16, No. 3, 2001, pp.
359-370.
All the empirical results were obtained using Givewin 1.30, PcGive 9.30, and
PcFiml 9.30
References:
Doornik, J.A. and Hendry, D.F., (1997), "Empirical Econometric Modelling
Using PcGive 9 for Windows", London, Timberlake Consulting.
Doornik, J.A. and Hendry, D.F., (1997), "Modelling Dynamic Systems Using
PcFiml 9 for Windows", London, Timberlake Consulting.
The sample data are quarterly seasonally adjusted for the period 1970(1) to
1994(4). The data are in the file mm-data.dat (an ASCII file in DOS format,
which is zipped in mm-data.zip) and are presented by variable-- 25 rows by 4
columns for each of the 26 variables. Thus each row contains the 4 quarterly
observations for a particular year.
The data are ordered:
(w-p), u, (y-l), Dp, D(w-p), Du, D(y-l), DDP, eqma11, eqma12, eqma21,
eqma22, D762, D732, D733, D92Shift, DUnemp, Divorce, Deflate, s, gap,
HrsLost, CapUtil, Real R, NT/YP, EffExch
The definitions of the variables are:
w is the log of nominal average earnings which is referred to
as wages.
p is the log of the consumer price index.
(w-p) is the log of real wages.
Dp is the first difference of p which is used as a measure of
the quarterly inflation rate.
u is the log of the percentage unemployment rate.
(y-l) is the log of the ratio of real GDP to total employment.
eqma(i,j) is the jth cointegrating vector in period i as defined in
the paper.
D762
D732
D733
D92Shift
DUnemp
Divorce
Deflate are all dummy variables as defined in the paper.
s is the log of the labour share as defined in the paper.
gap is a measure of the output gap as defined in the paper.
HrsLost is hours lost in labour disputes.
CapUtil is % rate of capacity utilization.
Real R is real interest rate.
NT/PY is ratio of real net trade balance to GDP.
EffExch is effective exchange rate.
All logs are natural logarithms.
NB the first observation (i.e. 1970(1)) is missing for all variables
involving the first difference D (e.g. Dp). Since eqma12, eqma22 and Real_R
each involve Dp the first available observation for them is 1970(2).
Equally, the first two observations are missing for DDp the rate of price
acceleration. The first available observation on EffExch is 1972(1).
Missing observations are shown by "NA" .
The definitions and sources for the data are:
W wages total earnings per capita for the non self-employed (ISTAT)
P prices CPI (1990=100) (ISTAT)
U unemployment % unemployment rate for total employment (ISTAT)
Y GDP GDP (constant 1985 prices) (ISTAT)
Y/L output per capita GDP per capita for total employment (ISTAT)
EffExch effective exchange rate trade weighted exchange rate (1990=100)
(OECD 1656009H)
R interest rate long term Treasury bond rate (% pa) (OECD 165578AH)
NT/PY net trade balance f.o.b.-c.i.f. (billions lira) (OECD 16765103)
CapUtil rate of capacity utilization Business tendencies survey (%)
(OECD 163088F0)
HrsLost hours lost time lost in labour disputes ('000s hours)
(OECD 16429880)
NT/PY Net Trade/(P x GDP)
Real R R/400-Dp