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
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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Citations
Cites
Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
Cited by
Arellano, M., & Bond, S. (1991) · The Review of Economic Studies · doi:10.2307/2297968 · Cited by 33,272
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Another look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1995) · Working Paper Series · doi:10.1920/wp.ifs.1995.9517 · Cited by 14,755
Unit root tests in panel data: asymptotic and finite-sample properties
Levin, A., Lin, C.-F., & James Chu, C.-S. (2002) · Journal of Econometrics · doi:10.1016/s0304-4076(01)00098-7 · Cited by 12,849
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)
- OpenAlex
- W2092532477
- Cited by
- 4,239
- References
- 1
- FWCI
- 18.72
- Type
- journal article
- Language
- en
- Open access
- closed
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