Abstract

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.

Keywords

Panel dataEconometricsEconomicsVector (molecular biology)Computer scienceBiology

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Publication Info

Year
1988
Type
article
Volume
56
Issue
6
Pages
1371-1371
Citations
4134
Access
Closed

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Douglas Holtz‐Eakin, Whitney K. Newey, Harvey S. Rosen (1988). Estimating Vector Autoregressions with Panel Data. Econometrica , 56 (6) , 1371-1371. https://doi.org/10.2307/1913103

Identifiers

DOI
10.2307/1913103