Estimating Vector Autoregressions with Panel Data

DOI10.2307/1913103zbMath0654.62091OpenAlexW2092532477MaRDI QIDQ83292

Harvey S. Rosen, Whitney K. Newey, Douglas Holtz-Eakin, Whitney K. Newey, Douglas Holtz-Eakin, Harvey Rosten

Publication date: November 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913103

zbMATH Keywords

estimationcausality testspanel datainstrumental variablestesting for the presence of measurement errorlabor supply modellag lengthsnonstationary individual effectsquasi- differenced autoregressive equationsvector autoregression coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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