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Estimating Vector Autoregressions with Panel Data

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  • Holtz-Eakin, Douglas
  • Newey, Whitney
  • Rosen, Harvey S

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.

Suggested Citation

  • Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-1395, November.
  • Handle: RePEc:ecm:emetrp:v:56:y:1988:i:6:p:1371-95
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    References listed on IDEAS

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