Estimating Vector Autoregressions with Panel Data
Whitney Newey and
Harvey Rosen ()
Econometrica, 1988, vol. 56, issue 6, 1371-95
This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. The empirical results suggest the absence of lagged hours in the wage forecasting equation. The results also show that lagged hours is important in the hours equation. Copyright 1988 by The Econometric Society.
References: Add references at CitEc
Citations: View citations in EconPapers (1104) Track citations by RSS feed
Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819881 ... O%3B2-V&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
Journal Article: The Revenues-Expenditures Nexus: Evidence from Local Government Data (1989)
Software Item: RATS program to demonstrate IV estimation of VAR in panel data
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:56:y:1988:i:6:p:1371-95
Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues
Access Statistics for this article
Econometrica is currently edited by Daron Acemoglu
More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().