Estimating Vector Autoregressions with Panel Data
提出面板数据中向量自回归系数的估计与检验方法，并应用于分析美国男性样本中工资与工时的动态关系，发现工资方程中不含滞后工时，而工时方程中滞后工时重要。
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.