Econometrica Vol. 56 No. 6 1988
Estimating Vector Autoregressions with Panel Data
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.
- DOI
- 10.2307/1913103
- Volume
- 56
- Issue
- 6
- Pages
- 1371
- Sources
- bibtex:phds-export.bib crossref openalex