investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …

stock prices and total factor productivity (TFP) with the aim of highlighting data patterns that are useful for evaluating … long run movements in total factor productivity and (ii) such stock prices innovations do not affect U.S. sectoral TFPs …