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Title: Estimating Vector Autoregressions with Panel Data
Resulting in 1 citation.
1. 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.