Estimating Vector Autoregressions with Panel Data

DOI10.2307/1913103zbMATH Open0654.62091OpenAlexW2092532477MaRDI QIDQ83292FDOQ83292

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

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zbMATH Keywords

panel datacausality testsestimationinstrumental variableslabor supply modellag lengthsnonstationary individual effectsquasi- differenced autoregressive equationstesting for the presence of measurement errorvector autoregression coefficients

Mathematics Subject Classification ID

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

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• Estimation of a panel data model with parametric temporal variation in individual effects
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• A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
• Indirect inference for dynamic panel models
• Individual effects and dynamics in count data models.
• On modeling panels of time series
• Binary choice panel data models with predetermined variables
• Unit root tests in panel data: asymptotic and finite-sample properties
• Estimation of random coefficients logit demand models with interactive fixed effects
• Indirect inference estimation of dynamic panel data models
• Asymptotically unbiased estimation of autocovariances and autocorrelations with panel data in the presence of individual and time effects
• GMM estimation of linear panel data models with time-varying individual effects
• A note on parameter estimation of panel vector autoregressive models with intercorrelation
• Cook's distance in linear longitudinal models
• Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
• Identification of the linear factor model
• Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
• The optimal choice of moments in dynamic panel data models
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• Gender differences and dynamics in competition: The role of luck
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• Asymptotic distributions of impulse response functions in short panel vector autoregressions
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• Cross-Sectional Dependence in Panel Data Analysis
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• Another look at the instrumental variable estimation of error-components models
• IV estimation of panels with factor residuals
• Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity
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• Initial conditions and moment restrictions in dynamic panel data models
• Efficient estimation of models for dynamic panel data
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA
• The limited information maximum likelihood approach to dynamic panel structural equation models
• MEASUREMENT ERRORS IN DYNAMIC MODELS
• Testing initial conditions in dynamic panel data models
• A new semiparametric spatial model for panel time series
• GRANGER CAUSALITY AND STRUCTURAL CAUSALITY IN CROSS-SECTION AND PANEL DATA
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• A framework for estimating dynamic, unobserved effects panel data models with possible feedback to future explanatory variables
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• Level-based estimation of dynamic panel models
• A two-stage estimation for panel data models with grouped fixed effects
• First difference transformation in panel VAR models: Robustness, estimation, and inference
• Online Debiasing for Adaptively Collected High-Dimensional Data With Applications to Time Series Analysis
• Editorial: Celebrating 40 years of panel data analysis: past, present and future
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• Double filter instrumental variable estimation of panel data models with weakly exogenous variables
• A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
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• An augmented Anderson–Hsiao estimator for dynamic short-T panels^†
• Projection estimators for autoregressive panel data models
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• The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic
• Real interest rate and economic growth: a statistical exploration for transitory economies
• Editorial: Whitney Newey's contributions to econometrics
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• Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
• Institutions and growth: a GMM/IV panel VAR approach
• Identification problem of GMM estimators for short panel data models with interactive fixed effects
• Set identification of panel data models with interactive effects via quantile restrictions

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