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Cited by 4,239

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

Estimating Vector Autoregressions with Panel Data

Holtz-Eakin, Douglas, Newey, Whitney, Rosen, Harvey S.·1988·Econometrica
DOI 10.2307/1913103
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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.

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Metadata

Authors
Holtz-Eakin, D., Newey, W., & Rosen, H. S.
Venue
Econometrica
Publisher
JSTOR
Published
1988-11
Volume
56
Issue
6
Pages
1371
ISSN
0012-9682 (ISSN-L)
DOI
10.2307/1913103
OpenAlex
W2092532477
Cited by
4,239
References
1
FWCI
18.72
Type
journal article
Language
en
Open access
closed

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