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Author: Newey, Whitney K.
Resulting in 2 citations.
1. Angrist, Joshua D.
Newey, Whitney K.
Over-Identification Tests in Earnings Functions with Fixed Effects
Journal of Business and Economic Statistics 9,3 (July 1991): 317-323.
Cohort(s): NLSY79
Publisher: American Statistical Association
Keyword(s): Earnings; Education; Educational Attainment; Educational Returns; Modeling, Fixed Effects; Research Methodology; Unions; Wages

The fixed-effects model for panel data imposes restrictions on coefficients from regressions of all leads and lags of the dependent variable on all leads and lags of right-side variables. In the standard fixed-effects model, the omnibus goodness-of-fit statistic is shown to simplify to the degree of freedom times the R square from a regression analysis of covariance residuals on all leads and lags on the right-side variables. This result is applied to test models for the union-wage effect using data from the NLSY. Although schooling is often treated as time-invariant, schooling increases over a 5-year period for nearly 20 percent of continuously employed men in the NLSY. The analysis of covariance estimate of the returns to schooling is precisely estimated and roughly twice as large as the ordinary least squares estimate. In contrast to the union-wage-effects equation, the omnibus goodness-of-fit tests suggest that the fixed-effects assumption may be inappropriate for human capital earnings functions. [ABI/INFORM]
Bibliography Citation
Angrist, Joshua D. and Whitney K. Newey. "Over-Identification Tests in Earnings Functions with Fixed Effects." Journal of Business and Economic Statistics 9,3 (July 1991): 317-323.
2. Holtz-Eakin, Douglas
Newey, Whitney K.
Rosen, Harvey S.
Estimating Vector Autoregressions with Panel Data
Econometrica 56,6 (November 1988): 1371-1395.
Cohort(s): Older Men
Publisher: Department of Economics, Northwestern University
Keyword(s): Labor Supply; Modeling; Panel Study of Income Dynamics (PSID); Research Methodology; Variables, Instrumental; Wages

Permission to reprint the abstract has not been received from the publisher.

This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and hours worked in two samples of American males, the PSID and NLS of Older Men. The model allows for nonstationary individual effects, and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. Particular attention is paid to specifying lag lengths, forming convenient test statistics, and testing for the presence of measurement error. The empirical results suggest the absence of lagged hours in the wage forecasting equation. Our results also show that lagged hours is important in the hours equation, which is consistent with alternatives to the simple labor supply model that allow for costly hours adjustment or preferences that are not time separable.
Bibliography Citation
Holtz-Eakin, Douglas, Whitney K. Newey and Harvey S. Rosen. "Estimating Vector Autoregressions with Panel Data." Econometrica 56,6 (November 1988): 1371-1395.