Implementing Causality Tests with Panel Data, with an Example from LocalPublic Finance

Douglas Holtz-Eakin, Whitney Newey and Harvey Rosen ()

No 48, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic properties of revenues, expenditures, and grants in a sample of United States municipalities. The model allows for nonstationary individual effects, and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations Q Particular attention is paid to specifying lag lengths and forming convenient test statistics. The empirical results suggest that intertemporal linkages are important to the understanding of state and local behavior. Such linkages are ignored in conventional cross sectional regressions. Also, we present evidence that past grant revenues help to predict current expenditures, but that past expenditures do not help to predict current revenues.

Date: 1989-03
Note: PE LS
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Published as Holtz-Eakin D., W. Newey, and H. Rosen. "Estimating Vector Autoregressions With Panel Data," from Econometrica, Vol. 56, No. 6, (November 1988).

Downloads: (external link)
http://www.nber.org/papers/t0048.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberte:0048

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0048

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().