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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp0105741r70t
 Title: Wages and Hours: Estimating Vector Autoregressions with Panel Data Authors: Holtz-Eakin, DouglasNewey, WhitneyRose, Harvey Keywords: labor supplyvector autoregressionpanel data Issue Date: 1-Jun-1987 Citation: Econometrica, November 1988 Series/Report no.: Working Papers (Princeton University. Industrial Relations Section) ; 222 Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and uses the techniques to analyze the dynamic properties of wages and hours among American males. The model allows for non- stationary individual effects, and is estimated by applying instrumental variables to the quasi—differenced autoregressive equations. Particular attention is paid to specifying lag lengths and forming convenient test statistics. The empirical results suggest that the wage equation contains at most a single lag of hours and wages, and that one cannot reject the hypothesis that lagged hours may be excluded from the wage 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. URI: http://arks.princeton.edu/ark:/88435/dsp0105741r70t Related resource: http://links.jstor.org/sici?sici=0012-9682%28198811%2956%3A6%3C1371%3AEVAWPD%3E2.0.CO%3B2-V Appears in Collections: IRS Working Papers

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