Estimating Vector Autoregressions with Panel Data
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Publication:83292
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
estimationcausality testspanel datainstrumental variablestesting for the presence of measurement errorlabor supply modellag lengthsnonstationary individual effectsquasi- differenced autoregressive equationsvector autoregression coefficients
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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