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| نموذج الانحدار الذاتي المتجه للبيانات المقطعية (Panel VAR)× | فار الكميات (Quantile VAR)× | الانحدار الذاتي الهيكلي المتجه (SVAR)× | |
|---|---|---|---|
| المجال | الاقتصاد القياسي | الاقتصاد القياسي | الاقتصاد القياسي |
| العائلة | Regression model | Regression model | Regression model |
| سنة النشأة≠ | 1988 | 2006 | 1980 |
| صاحب الطريقة≠ | Holtz-Eakin, Newey & Rosen | Koenker and Xiao | Sims (1980); identification schemes by Blanchard & Quah (1989) |
| النوع≠ | Panel vector autoregression | Distribution impulse response | Multivariate time series model |
| المصدر التأسيسي≠ | Holtz-Eakin, D., Newey, W. & Rosen, H. S. (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395. DOI ↗ | Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980-990. DOI ↗ | Blanchard, O. J., & Quah, D. (1989). The dynamic effects of aggregate demand and supply disturbances. American Economic Review, 79(4), 655-673. link ↗ |
| الأسماء البديلة≠ | PVAR, panel vector autoregression, Panel VAR (PVAR) | Quantile-based impulse response | SVAR, structural vector autoregression, identified VAR, structural VAR model |
| ذات صلة≠ | 3 | 3 | 5 |
| الملخص≠ | Panel VAR extends the vector autoregression model to panel data, modelling the dynamic interactions among several variables while controlling for cross-unit heterogeneity through fixed effects. It was introduced by Holtz-Eakin, Newey and Rosen in 1988 and produces impulse-response functions and variance decompositions at the panel level. | Quantile VAR estimates impulse responses of multivariate systems conditional on different quantiles of the distribution, revealing how shocks propagate heterogeneously across the conditional distribution. Introduced by Koenker and Xiao (2006) and applied to risk measurement by White et al. (2015), it reveals tail behavior and contagion effects invisible to mean-based VAR analysis. This is essential for risk management and understanding how crises propagate differently than normal times. | Structural VAR extends the reduced-form VAR by imposing economic theory-based restrictions that identify orthogonal structural shocks. This allows researchers to disentangle the causal effects of distinct economic disturbances — such as supply versus demand shocks — and trace their dynamic propagation through a system of variables via impulse response functions and forecast error variance decompositions. |
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