|
|
|
|
||||
|
||||
Implementing Causality Tests with Panel Data, with an Example from Localpublic FinanceDouglas Holtz-EakinSyracuse University; National Bureau of Economic Research (NBER) Whitney K. NeweyMassachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) Harvey S. RosenPrinceton University - Department of Economics; National Bureau of Economic Research (NBER); CESifo (Center for Economic Studies and Ifo Institute for Economic Research) March 1989 NBER Working Paper No. t0048 Abstract: This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic properties of revenues, expenditures, and grants in a sample of United States municipalities. The model allows for nonstationary individual effects, and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations Q Particular attention is paid to specifying lag lengths and forming convenient test statistics. The empirical results suggest that intertemporal linkages are important to the understanding of state and local behavior. Such linkages are ignored in conventional cross sectional regressions. Also, we present evidence that past grant revenues help to predict current expenditures, but that past expenditures do not help to predict current revenues.
Number of Pages in PDF File: 45 working papers seriesDate posted: July 5, 2001Suggested CitationContact Information
|
|
||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo1 in 0.485 seconds
