abdata

This data set contains labor demand data from a panel of firms in the United Kingdom. The panel is unlanced.

datasets

We extend two general methods of moment estimators to panel vector
autoregression models (PVAR) with p lags of endogenous variables, predetermined
and strictly exogenous variables. This general PVAR model contains the first
difference GMM estimator by Holtz-Eakin et al. (1988) <doi:10.2307/1913103>,
Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator
by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. We also
provide specification tests (Hansen overidentification test, lag selection
criterion and stability test of the PVAR polynomial) and classical structural
analysis for PVAR models such as orthogonal and generalized impulse response
functions, bootstrapped confidence intervals for impulse response analysis and
forecast error variance decompositions.

Robert Ferstl

panelvar

Panel Vector Autoregression

Michael Sigmund

abdata function

The variables are:<dl>
 <dt>c1</dt>
<dd>Record ID</dd> <dt>ind</dt>
<dd>Firm index</dd> <dt>year</dt>
<dd>Year</dd> <dt>emp</dt>
<dd>Employment</dd> <dt>wage</dt>
<dd>Wage</dd> <dt>cap</dt>
<dd>Capital</dd> <dt>indoutpt</dt>
<dd>Industrial output</dd> <dt>n, w, k, ys</dt>
<dd>Logs of variables</dd> <dt>rec</dt>
<dd>Record number</dd> <dt>yearm1</dt>
<dd>Lagged year</dd> <dt>id</dt>
<dd>ID</dd> <dt>nL1, nL2, wL1, kL1, kL2, ysL1, ysL2</dt>
<dd>Lags of log variables</dd> <dt>yr1976 - yr1984</dt>
<dd>Time dummies</dd>
</dl>

Format

Employment UK data — abdata

The variables are:<dl>
 <dt>c1</dt>
<dd>Record ID</dd>

 <dt>ind</dt>
<dd>Firm index</dd>

 <dt>year</dt>
<dd>Year</dd>

 <dt>emp</dt>
<dd>Employment</dd>

 <dt>wage</dt>
<dd>Wage</dd>

 <dt>cap</dt>
<dd>Capital</dd>

 <dt>indoutpt</dt>
<dd>Industrial output</dd>

 <dt>n, w, k, ys</dt>
<dd>Logs of variables</dd>

 <dt>rec</dt>
<dd>Record number</dd>

 <dt>yearm1</dt>
<dd>Lagged year</dd>

 <dt>id</dt>
<dd>ID</dd>

 <dt>nL1, nL2, wL1, kL1, kL2, ysL1, ysL2</dt>
<dd>Lags of log variables</dd>

 <dt>yr1976 - yr1984</dt>
<dd>Time dummies</dd>


</dl>

abdata: Employment UK data

Description

Usage

Arguments

Format

References