Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Analýza panelových dat s časově proměnnými parametry× | Model stavového prostoru (Kalmanův filtr)× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1960–2003 | 1990 |
| Tvůrce≠ | Cheng Hsiao (panel treatment); Kalman (state-space foundation) | Harvey; Durbin & Koopman (state space treatment); Kalman filter |
| Typ≠ | Dynamic panel model | State space time series model |
| Původní zdroj≠ | Hsiao, C. (2003). Analysis of Panel Data (2nd ed.). Cambridge University Press. ISBN: 978-0521522717 | Harvey, A. C. (1990). Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press. DOI ↗ |
| Další názvy | TVP panel model, time-varying coefficient panel model, state-space panel regression, random coefficient panel model | state space, Kalman filter, unobserved components model, Durum Uzayı Modeli (State Space / Kalman Filter) |
| Příbuzné≠ | 5 | 4 |
| Shrnutí≠ | Time-varying parameter (TVP) panel data analysis extends standard panel regression by allowing the slope coefficients to evolve over time for each unit. Instead of assuming a single fixed or random coefficient, the model lets each unit's relationship between predictors and outcome shift period by period, capturing structural change, learning effects, and heterogeneous dynamics across individuals and time. | A state space model is a general time series framework that describes a series through unobserved (latent) state variables linked by a measurement equation and a transition equation, with the states estimated in real time by the Kalman filter. Developed in the state space tradition of Harvey (1990) and Durbin & Koopman (2012), it nests ARIMA and exponential smoothing as special cases. |
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