Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model Panelu ARMA× | Model ARMA (Autoregressive Moving Average)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1980s–2000s | 1970 |
| Tvůrce≠ | Baltagi, Hsiao and related panel data literature | George E. P. Box and Gwilym M. Jenkins |
| Typ≠ | Panel time series model | Time series model |
| Původní zdroj≠ | Baltagi, B. H. (2008). Econometric Analysis of Panel Data (4th ed.). John Wiley & Sons. ISBN: 978-0470518861 | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Další názvy | Panel ARMA, ARMA panel model, panel autoregressive moving average, cross-sectional ARMA | ARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q) |
| Příbuzné | 5 | 5 |
| Shrnutí≠ | The Panel ARMA model extends the classical Autoregressive Moving Average (ARMA) framework to panel data, allowing each cross-sectional unit to carry an individual effect while the within-unit error dynamics follow an ARMA(p, q) process. It captures both autocorrelation and moving-average dependence in panel residuals, yielding efficient estimates when the error structure is correctly specified. | The ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting. |
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