Holtz-Eakin, Douglas; Newey, Whitney; Rosen, Harvey S - In: Econometrica 56 (1988) 6, pp. 1371-95
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...