精讀前言：本文為“Estimating Vector Autoregressions With Panel Data（估計(jì)面板數(shù)據(jù)的向量自回歸）”的文獻(xiàn)精度，原文作者是Douglas Holtz-Eakin, Whitney Newey, and Harvey S. Rosen，這篇文章于1988年發(fā)表在Econometrica上，是PVAR模型的開山之作。該文獻(xiàn)的doi號為: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于河南大學(xué)