Harvey Rosen

First name
Last name

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.

Year of Publication
Date Published
Publication Language
Citation Key
Econometrica, November 1988
Holtz-Eakin, D., Newey, W., & Rosen, H. (1987). Wages and Hours: Estimating Vector Autoregressions with Panel Data. Retrieved from http://arks.princeton.edu/ark:/88435/dsp0105741r70t (Original work published June 1987)
Working Papers