精读前言：本文为“Estimating Vector Autoregressions With Panel Data（估计面板数据的向量自回归）”的文献精度，原文作者是Douglas Holtz-Eakin, Whitney Newey, and Harvey S. Rosen，这篇文章于1988年发表在Econometrica上，是PVAR模型的开山之作。该文献的doi号为:10.2307/1913103.
Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and 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. Particular attention is paid to specifying lag lengths, forming convenient test statistics, and testing for the presence of measurement error. The empirical results suggest the absence of lagged hours in the wage forecasting equation. Our results also show that lagged hours is important in the hours equation, which is consistent with alternatives to the simple labor supply model that allow for costly hours adjustment or preferences that are not time separable.
Keywords: Vector autoregression, panel data, causality tests, labor supply.
2023.07.05于河南大学